Martino Grasselli

Orcid: 0000-0002-9301-2451

According to our database1, Martino Grasselli authored at least 9 papers between 2014 and 2024.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

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PhD thesis 
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Links

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Bibliography

2024
A general framework for a joint calibration of VIX and VXX options.
Ann. Oper. Res., May, 2024

Recent advances in mathematical methods for finance.
Ann. Oper. Res., May, 2024

2023
A fully quantization-based scheme for FBSDEs.
Appl. Math. Comput., 2023

2021
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough).
Math. Oper. Res., 2021

2020
CyberWolf: assessing vulnerabilities of ICT-intensive financial markets.
Proceedings of the ARES 2020: The 15th International Conference on Availability, 2020

2019
Quantization meets Fourier: a new technology for pricing options.
Ann. Oper. Res., 2019

2015
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models.
Oper. Res. Lett., 2015

2014
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates.
SIAM J. Financial Math., 2014

The Explicit Laplace Transform for the Wishart Process.
J. Appl. Probab., 2014


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