2 citations · 2 across the 10 of their papers we have counts for
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q-fin.PR2012
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…
q-fin.PR2012
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…