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