2 citations · 2 across the 10 of their papers we have counts for
14 papers
Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach
Michele Bonollo, Martino Grasselli, Gianmarco Mori +1
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measu…
Strong Solutions and Quantization-Based Numerical Schemes for a Class of Non-Markovian Volatility Models
Martino Grasselli, Gilles Pagès
We investigate a class of non-Markovian processes that hold particular relevance in the realm of mathematical finance. This family encompasses path-dependent volatility models, inc…
Novel exact solutions for PDEs with mixed boundary conditions
Mark Craddock, Martino Grasselli, Andrea Mazzoran
We develop methods for the solution of inhomogeneous Robin type boundary value problems (BVPs) that arise for certain linear parabolic Partial Differential Equations (PDEs) on a ha…
Efficient simulation of a new class of Volterra-type SDEs
Ofelia Bonesini, Giorgia Callegaro, Martino Grasselli +1
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian)…
A Fully Quantization-based Scheme for FBSDEs
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pagès and Sagna (2018) so that our approach is fully ba…
A general framework for a joint calibration of VIX and VXX options
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the…
Long vs Short Time Scales: the Rough Dilemma and Beyond
Matthieu Garcin, Martino Grasselli
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors i…
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
Mesias Alfeus, Martino Grasselli, Erik Schlögl
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework fo…
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)
Callegaro Giorgia, Grasselli Martino, Pagès Gilles
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatilit…
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
Alessandro Gnoatto, Martino Grasselli, Eckhard Platen
In this paper we show how to hedge a zero coupon bond with a smaller amount of initial capital than required by the classical risk neutral paradigm, whose (trivial) hedging strateg…
An analytic multi-currency model with stochastic volatility and stochastic interest rates
Alessandro Gnoatto, Martino Grasselli
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evoluti…
A flexible matrix Libor model with smiles
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changi…
Smiles all around: FX joint calibration in a multi-Heston model
Alvise De Col, Alessandro Gnoatto, Martino Grasselli
We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining th…
The explicit Laplace transform for the Wishart process
Alessandro Gnoatto, Martino Grasselli
We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru. We compare our methodology w…