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Autor

Nome:
Martino Grasselli
e-mail:
grassell@math.unipd.it
Artigos 5:

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function
José da Fonseca, Martino Grasselli, Florian Ielpo
Studies In Nonlinear Dynamics And Econometrics, vol. 18, 2014, p. 253-289.

Pricing Range Notes within Wishart Affine Models
Carl Chiarella, José da Fonseca, Martino Grasselli
Insurance: Mathematics and Economics, vol. 58, 2014, p. 193-203.

A Flexible Matrix Libor Model with Smiles
José da Fonseca, Alessandro Gnoatto, Martino Grasselli
Journal of Economic Dynamics and Control, vol. 37, 2013, p. 774-793.

Hedging (Co)variance Risk with Variance Swaps
José da Fonseca, Martino Grasselli, Florian Ielpo
International Journal Of Theoretical And Applied Finance, vol. 14, 2011, p. 899-943.

Riding on the Smiles
José da Fonseca, Martino Grasselli
Quantitative Finance, vol. 11, 2011, p. 1609-1632.

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