Martino Grasselli

De Vinci Research Center


Martino Grasselli

Martino Grasselli is Head of the Finance Group at the Pôle Universitaire Léonard de Vinci Research Center in Paris La Defense and he is Associate Professor at the Mathematics department of University of Padua (Italy). After graduating in Mathematics (Padua, 1994) he received a Doctorate in Applied Mathematics in Trieste (1999) and a Ph.D in Quantitative Finance in Paris 1 Sorbonne (2001 ) as a fellow of CREST. He has been Assistant Professor at Verona Univ. (1999-2004) and Visiting Professor at Univ. Evry (France 2003), UTS (Sydney, 2010-2011, 2014, 2015), Dauphine (Paris, 2013). His teaching experiences cover doctoral courses (Padua, Verona), Master&MBA (Cattolica Assicurazioni Private Banking Verona, ESILV Paris la Defense), Quants seminars (Bloomberg New York, NATIXIS Paris, Prometeia Bologna), Executive Education (Foundation CUOA Altavilla VI, AIPB, Intesa Private Banking Milan). He is Co-founder of Quanta Finanza Srl, where he has held various positions as a technical consultant (CTU) in financial litigations (Courts of Milan, Padua, Treviso) and performs regularly as a consultant to parties (CTP). To his credit has more than 30 research papers published in major peer review international journals and is often invited as a plenary speaker at international conferences: his research topics cover stochastic volatility, valuation of derivatives, model calibration, portfolio management, interest rates models and quantitative models for the management of demographic and mortality risks.

martino.grasselli@devinci.fr

Publications


Journal Articles

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli

Pricing via Quantization in Stochastic Volatility Models (Journal Article)

Quantitative Finance, to appear, 2016.

(Abstract | Links | BibTeX)

Martino Grasselli

The 4/2 stochastic volatility model (Journal Article)

Mathematical Finance, to appear, 2016.

(Abstract | Links | BibTeX)

Griselda Deelstra, Martino Grasselli, Christopher van Weverberg

The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options (Journal Article)

Insurance: Mathematics and Economics, 71 , pp. 205-219, 2016, ISSN: 0167-6687.

(Abstract | Links | BibTeX)

Martino Grasselli, Giulio Miglietta

A Flexible Spot Multiple-Curve Model (Journal Article)

Quantitative Finance, 16 (10), pp. 1465-1477, 2016, ISSN: 1469-7688.

(Abstract | Links | BibTeX)

Martino Grasselli, Jacinto Marabel Romo

Stochastic Skew and Target Volatility Options (Journal Article)

The Journal of Futures Markets, 36 (2), pp. 174-193, 2016.

(Abstract | Links | BibTeX)

José Da Fonseca, Alessandro Gnoatto, Martino Grasselli

Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique (Journal Article)

Operations Research Letters, 43 , pp. 601-607, 2015, ISSN: 0167-6377.

(Abstract | Links | BibTeX)

Martino Grasselli, Alessandro Gnoatto, Gianluca Fusai, Ruggero Caldana

General Closed-From Basket Option Pricing Bounds (Journal Article)

Quantitative Finance, 16 (4), pp. 535-554, 2015, ISSN: 1469-7688.

(Abstract | Links | BibTeX)

Jan Baldeaux, Martino Grasselli, Eckhard Platen

Pricing currency derivatives under the benchmark approach (Journal Article)

Journal of Banking and Finance, 53 , pp. 34-48, 2015, ISSN: 0378-4266.

(Abstract | Links | BibTeX)

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli

Quantized calibration in local volatility models (Journal Article)

Risk Magazine, 9 , pp. 62-67, 2015, ISSN: 0952-8776.

(Abstract | Links | BibTeX)

Alessandro Gnoatto, Martino Grasselli

The Explicit Laplace Transform for the Wishart Process (Journal Article)

Journal of Applied Probability, 51 (3), pp. 640-656, 2014.

(Abstract | Links | BibTeX)

Alessandro Gnoatto, Martino Grasselli

A tractable multi-currency model with stochastic volatility and stochastic interest rates (Journal Article)

SIAM Journal of Financial Mathematics, 5 (1), pp. 493-531, 2014, ISSN: 1945-497X.

(Abstract | Links | BibTeX)

José Da Fonseca, Martino Grasselli, Florian Ielpo

Estimating the Wishart Affine Stochastic Correlation Model using the Empirical Characteristic Function (Journal Article)

Studies in Nonlinear Dynamics & Econometrics, 18 (3), pp. 253-289, 2014.

(Abstract | Links | BibTeX)

Carl Chiarella, José Da Fonseca, Martino Grasselli

Pricing Range Notes within Wishart Affine Models (Journal Article)

Insurance: Mathematics and Economics, 58 , pp. 774-793, 2014, ISSN: 0167-6687.

(Abstract | Links | BibTeX)

Alvise De Col, Alessandro Gnoatto, Martino Grasselli

Smiles all around: FX joint calibration in a multi-Heston model (Journal Article)

Journal of Banking & Finance, 37 (10), pp. 3799-3818, 2013, ISSN: 0378-4266.

(Abstract | Links | BibTeX)

Alessandro Gnoatto, Martino Grasselli, José Da Fonseca

A flexible matrix Libor model with smiles (Journal Article)

Journal of Economic Dynamics and Control, 37 (4), pp. 774-793, 2013, ISSN: 0165-1889.

(Abstract | Links | BibTeX)

Daniel Gabay, Martino Grasselli

Fair Demographic Risk Sharing in Defined Contribution Pension Systems (Journal Article)

Journal of Economic Dynamics and Control, 36 (4), pp. 657-669, 2012, ISSN: 0165-1889.

(Abstract | Links | BibTeX)

Martino Grasselli, Lucas Grosset

Allocazione ottimale per il Private Banking (Journal Article)

Matematica e Impresa, 2 , 2012.

(BibTeX)

José Da Fonseca, Martino Grasselli

Riding on the Smiles (Journal Article)

Quantitative Finance, 11 (11), pp. 1609-1632, 2011, ISSN: 1469–7688.

(Abstract | Links | BibTeX)

José Da Fonseca, Martino Grasselli, Florian Ielpo

Hedging (Co)Variance Risk with Variance Swaps (Journal Article)

International Journal of Theoretical and Applied Finance, 14 (6), pp. 899-943, 2011, ISSN: 0219-0249.

(Abstract | Links | BibTeX)

Alberto Lanzavecchia, Martino Grasselli

I nuovi piani di incentivazione Azionaria (Journal Article)

Contabilità, Finanza e Controllo, 34 (2), pp. 130-139, 2011.

(Links | BibTeX)

José Da Fonseca, Martino Grasselli, Claudio Tebaldi

A Multifactor Volatility Heston Model (Journal Article)

Quantitative Finance, 8 (6), pp. 591-604, 2008, ISSN: 1469–7688.

(Abstract | Links | BibTeX)

Martino Grasselli, Claudio Tebaldi

Solvable Affine Term Structure Models (Journal Article)

Mathematical Finance, 18 (1), pp. 135-153, 2008, ISSN: 0960-1627.

(Abstract | Links | BibTeX)

Martino Grasselli, Claudio Tebaldi

Stochastic Jacobian and Riccati ODE in Affine Term Structure Models (Journal Article)

Decisions in Economics and Finance, 30 (2), pp. 95-018, 2007.

(Abstract | Links | BibTeX)

José Da Fonseca, Martino Grasselli, Claudio Tebaldi

Option pricing when correlations are stochastic: an analytical framework (Journal Article)

Review of Derivatives Research, 10 , pp. 151-180, 2007.

(Abstract | Links | BibTeX)

Martino Grasselli

Sup-Convolution of HARA utility functions in the affine term structure (Journal Article)

Decisions in Economics and Finance, 28 (1), pp. 67-78, 2005.

(Abstract | Links | BibTeX)

Martino Grasselli, Claudio Tebaldi

Bond Price and Impulse Response Function in the Balduzzi, Das, Foresi and Sundaram (1996) Model (Journal Article)

Economic Notes, 33 (3), pp. 359-374, 2004.

(Abstract | Links | BibTeX)

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Optimal Design of the Guarantee for Defined Contribution Funds (Journal Article)

Journal of Economic Dynamics and Control, 28 (11), pp. 2239-2260, 2004.

(Abstract | Links | BibTeX)

Martino Grasselli

Méthodes récentes de gestion des fonds de retraite (Journal Article)

Banque & Marchés, 72 , pp. 34-46, 2004.

(BibTeX)

Martino Grasselli

A Stability Result for the HARA Class with Stochastic Interest Rates (Journal Article)

Insurance : Mathematics and Economics, 33 (3), pp. 611-627, 2003.

(Abstract | Links | BibTeX)

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Optimal Investment Strategies in the presence of a minimum guarantee (Journal Article)

Insurance: Mathematics and Economics, 33 (1), pp. 189-207, 2003.

(Abstract | Links | BibTeX)

Griselda Deelstra, Martino Grasselli

Optimal Investment Strategies in a CIR Framework (Journal Article)

Journal of Applied Probability, 1 , pp. 1-15, 2000.

(Abstract | Links | BibTeX)

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Conditional Dominance Criteria: Definition and Application to Risk-Management (Journal Article)

Insurance: Mathematics and Economics, 25 (3), pp. 295-306, 1999.

(Abstract | Links | BibTeX)

Martino Grasselli, Bruno Viscolani

On a financial project valuation model proposed by De Giuli and Magnani (Journal Article)

Rendiconti per gli Studi Economici e Quantitativi, pp. 92-107, 1999.

(BibTeX)

Books

Martino Grasselli, Alessandra Buratto, Luca Grosset, Bruno Viscolani

Matematica Generale (Book)

Progetto Libreria, Padova, Italy, 2010, ISBN: 9788896477120.

(Links | BibTeX)

Conferences

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli

Pricing via Quantization in stochastic volatility models (Conference)

QMF Quantitative Methods in Finance, Sydney, UTS, 15-17 december 2015, 2015.

(BibTeX)

Martino Grasselli, Mark Craddock

Lie Symmetries Methods in Local Volatility Models (Conference)

Workshop in Quantitative Finance, Florence (Italy), 29-30 january 2015, 2015.

(BibTeX)

PhD Theses

Martino Grasselli

La Gestion de Portefeuille à Long Terme : une Approche de Finance Mathématique (PhD Thesis)

Université de Paris I Panthéon Sorbonne, 2001.

(Abstract | Links | BibTeX)

Martino Grasselli

Pension Funds: Deterministic and Stochastic Approaches (PhD Thesis)

Università degli Studi di Trieste, 1999.

(Links | BibTeX)

Technical Reports

Griselda Deelstra, Martino Grasselli, Christopher van Weverberg

Explosion time for some Wishart transforms (Technical Report)

ULB 2015.

(Abstract | Links | BibTeX)

Unpublished

Bruno Bouchard, Martino Grasselli

Super-Hedging under the Real World Measure with Stochastic Volatility (Unpublished)

2013.

(BibTeX)

Carlo Bertolazzi, Bruno Giacomello, Martino Grasselli, Alberto Lanzavecchia

Stock Option Plans with Incentives (Unpublished)

2012.

(Links | BibTeX)




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