6 papers
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…
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…
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…
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…