Martino Grasselli

Publication Activity (10 Years)

Years Active: 2014-2024
Publications (10 Years): 7

Top Topics

Quantization Scheme

Mathematical Methods

Financial Markets

Top Venues

Ann. Oper. Res.

Oper. Res. Lett.

J. Appl. Probab.

Publications

Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
A general framework for a joint calibration of VIX and VXX options. Ann. Oper. Res. 336 (1-2) (2024)
Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336 (1-2) (2024)
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
A fully quantization-based scheme for FBSDEs. Appl. Math. Comput. 441 (2023)
Giorgia Callegaro, Martino Grasselli, Gilles Pagès
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough). Math. Oper. Res. 46 (1) (2021)
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
A Fully Quantization-based Scheme for FBSDEs. CoRR (2021)
Andrea Calesso, Mauro Conti, Martino Grasselli
CyberWolf: assessing vulnerabilities of ICT-intensive financial markets. ARES (2020)
Giorgia Callegaro, Lucio Fiorin, Martino Grasselli
Quantization meets Fourier: a new technology for pricing options. Ann. Oper. Res. 282 (1-2) (2019)
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models. Oper. Res. Lett. 43 (6) (2015)
Alessandro Gnoatto, Martino Grasselli
The Explicit Laplace Transform for the Wishart Process. J. Appl. Probab. 51 (3) (2014)
Alessandro Gnoatto, Martino Grasselli
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates. SIAM J. Financial Math. 5 (1) (2014)