Martino Grasselli

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

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

A general framework for a joint calibration of VIX and VXX options.

Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini

Ann. Oper. Res., May, 2024

Recent advances in mathematical methods for finance.

Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu

Ann. Oper. Res., May, 2024

2023

A fully quantization-based scheme for FBSDEs.

Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli

Appl. Math. Comput., 2023

2021

Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough).

Giorgia Callegaro, Martino Grasselli, Gilles Pagès

Math. Oper. Res., 2021

2020

CyberWolf: assessing vulnerabilities of ICT-intensive financial markets.

Andrea Calesso, Mauro Conti, Martino Grasselli

Proceedings of the ARES 2020: The 15th International Conference on Availability, 2020

2019

Quantization meets Fourier: a new technology for pricing options.

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli

Ann. Oper. Res., 2019

2015

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models.

José Da Fonseca, Alessandro Gnoatto, Martino Grasselli

Oper. Res. Lett., 2015

2014

An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates.

Alessandro Gnoatto, Martino Grasselli

SIAM J. Financial Math., 2014

The Explicit Laplace Transform for the Wishart Process.

Alessandro Gnoatto, Martino Grasselli

J. Appl. Probab., 2014