2 citations · 2 across the 10 of their papers we have counts for
4 papers · 1 filter
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…
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 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…
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…