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 Full Professor at the Mathematics Department of University of Padua (Italy). He is Co-Founder and President of Aequo Srl, a financial engineering spinoff of University of Padua which is active in illiquid assets pricing and hedging with derivative products. 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, regularly in 2010-2017), 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 has held various positions as a technical consultant (CTU) in financial litigations (Courts of Milan, Padua, Treviso, Venice) and he was Scientific Director of the Derivatives Project, involving the Mathematics Department of Univ. Padua and Confindustria. He is Associate Editor of FMF (Frontiers of Mathematical Finance) and to his credit has more than 40 research papers published in major peer review international journals. He is often invited as a plenary speaker at international conferences: his research topics cover stochastic volatility, valuation of derivatives, illiquid assets pricing, model calibration, portfolio management, interest rates models and quantitative models for the management of demographic and mortality risks, financial cyber-security.

martino.grasselli@devinci.fr

Publications


Articles de journaux

Callegaro, G.; Grasselli, M.; Pagès, G.

Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Article de journal Forthcoming

Mathematics of Operations Research, Forthcoming.

BibTeX

Grasselli, M.; Wagalath, L.

VIX versus VXX: a joint analytical framework Article de journal Forthcoming

International Journal of Theoretical and Applied Finance, Forthcoming.

BibTeX

Grasselli, M.; Mesias, A.; Schlogl, E

A consistent stochastic model of the term structure of interest rates for multiple tenors Article de journal Forthcoming

Journal of Economic Dynamics and Control, Forthcoming.

BibTeX

Martino Grasselli; Mark Craddock

Lie Symmetries Methods in Local Volatility Models Article de journal

Stochastic Processes and Their Applications, 130 (6), p. 3802-3841, 2020.

BibTeX

Grasselli, M.; Fiorin, L.; Callegaro, G.

Quantization meets Fourier: A New methodology for pricing options Article de journal

Annals of Operations Research, 282 (1), p. 59-86, 2019.

BibTeX

Griselda Deelstra; Martino Grasselli; Christopher van Weverberg

Explosion time for some Wishart transforms Article de journal

Stochastic Models, 35 (1), p. 89-104, 2019.

Résumé | Liens | BibTeX

Grasselli Martino; Callegaro G.; Fiorin L.

American quantized calibration in stochastic volatility Article de journal

Risk, February , p. 84-88, 2018.

BibTeX

Giorgia Callegaro; Lucio Fiorin; Martino Grasselli

Pricing via Quantization in Stochastic Volatility Models Article de journal

Quantitative Finance, 17 (6), p. 855-872, 2017.

Résumé | Liens | BibTeX

Martino Grasselli

The 4/2 stochastic volatility model Article de journal

Mathematical Finance, 27 (4), p. 1013-1034, 2017.

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Griselda Deelstra; Martino Grasselli; Christopher van Weverberg

The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli; Giulio Miglietta

A Flexible Spot Multiple-Curve Model Article de journal

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

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Martino Grasselli; Jacinto Marabel Romo

Stochastic Skew and Target Volatility Options Article de journal

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

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José Da Fonseca; Alessandro Gnoatto; Martino Grasselli

Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique Article de journal

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

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Martino Grasselli; Alessandro Gnoatto; Gianluca Fusai; Ruggero Caldana

General Closed-From Basket Option Pricing Bounds Article de journal

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

Résumé | Liens | BibTeX

Jan Baldeaux; Martino Grasselli; Eckhard Platen

Pricing currency derivatives under the benchmark approach Article de journal

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

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Giorgia Callegaro; Lucio Fiorin; Martino Grasselli

Quantized calibration in local volatility models Article de journal

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

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Alessandro Gnoatto; Martino Grasselli

The Explicit Laplace Transform for the Wishart Process Article de journal

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

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Alessandro Gnoatto; Martino Grasselli

An affine multi-currency model with stochastic volatility and stochastic interest rates Article de journal

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

Résumé | Liens | BibTeX

José Da Fonseca, Martino Grasselli, Florian Ielpo

Estimating the Wishart Affine Stochastic Correlation Model using the Empirical Characteristic Function Article de journal

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

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Carl Chiarella; José Da Fonseca; Martino Grasselli

Pricing Range Notes within Wishart Affine Models Article de journal

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

Résumé | Liens | BibTeX

Alvise De Col, Alessandro Gnoatto, Martino Grasselli

Smiles all around: FX joint calibration in a multi-Heston model Article de journal

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

Résumé | Liens | BibTeX

Alessandro Gnoatto; Martino Grasselli; José Da Fonseca

A flexible matrix Libor model with smiles Article de journal

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

Résumé | Liens | BibTeX

Daniel Gabay; Martino Grasselli

Fair Demographic Risk Sharing in Defined Contribution Pension Systems Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli; Lucas Grosset

Allocazione ottimale per il Private Banking Article de journal

Matematica e Impresa, 2 , 2012.

BibTeX

José Da Fonseca; Martino Grasselli

Riding on the Smiles Article de journal

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

Résumé | Liens | BibTeX

José Da Fonseca; Martino Grasselli; Florian Ielpo

Hedging (Co)Variance Risk with Variance Swaps Article de journal

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

Résumé | Liens | BibTeX

Alberto Lanzavecchia; Martino Grasselli

I nuovi piani di incentivazione Azionaria Article de journal

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

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José Da Fonseca; Martino Grasselli; Claudio Tebaldi

A Multifactor Volatility Heston Model Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli; Claudio Tebaldi

Solvable Affine Term Structure Models Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli; Claudio Tebaldi

Stochastic Jacobian and Riccati ODE in Affine Term Structure Models Article de journal

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

Résumé | Liens | BibTeX

José Da Fonseca; Martino Grasselli; Claudio Tebaldi

Option pricing when correlations are stochastic: an analytical framework Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli

Sup-Convolution of HARA utility functions in the affine term structure Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli; Claudio Tebaldi

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

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

Résumé | Liens | BibTeX

Griselda Deelstra; Martino Grasselli; Pierre-François Koehl

Optimal Design of the Guarantee for Defined Contribution Funds Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli

Méthodes récentes de gestion des fonds de retraite Article de journal

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

BibTeX

Martino Grasselli

A Stability Result for the HARA Class with Stochastic Interest Rates Article de journal

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

Résumé | Liens | BibTeX

Griselda Deelstra; Martino Grasselli; Pierre-François Koehl

Optimal Investment Strategies in the presence of a minimum guarantee Article de journal

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

Résumé | Liens | BibTeX

Griselda Deelstra; Martino Grasselli

Optimal Investment Strategies in a CIR Framework Article de journal

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

Résumé | Liens | BibTeX

Griselda Deelstra; Martino Grasselli; Pierre-François Koehl

Conditional Dominance Criteria: Definition and Application to Risk-Management Article de journal

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

Résumé | Liens | BibTeX

Martino Grasselli; Bruno Viscolani

On a financial project valuation model proposed by De Giuli and Magnani Article de journal

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

BibTeX

Livres

Martino Grasselli; Alessandra Buratto; Luca Grosset; Bruno Viscolani

Matematica Generale Livre

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

Liens | BibTeX

inproceedings

Calesso, A.; Conti, M.; Grasselli, M.

CyberWolf: assessing vulnerabilities of ITC-intensive financial markets Inproceedings

ARES '20: Proceedings of the 15th International Conference on Availability, Reliability and Security, p. 1-7, 2020.

Liens | BibTeX

Martino Grasselli

Organizer of a mini-symposium on Quantization Inproceedings

8th General AMaMeF Conference, Amsterdam, June 19-23, 2017.

BibTeX

Thèses

Martino Grasselli

La Gestion de Portefeuille à Long Terme : une Approche de Finance Mathématique Thèse de doctorat

Université de Paris I Panthéon Sorbonne, 2001.

Résumé | Liens | BibTeX

Martino Grasselli

Pension Funds: Deterministic and Stochastic Approaches Thèse de doctorat

Università degli Studi di Trieste, 1999.

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