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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

Gorgia Callegaro; Martino Grasselli; Gilles Pagès

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

Dans: Mathematics Of Operations Research, vol. 46, no. 1, p. 221-254, 2021.

Résumé | Liens | BibTeX

Martino Grasselli; Lakshithe Wagalath

VIX vs VXX: A Joint Analytical Framework Article de journal

Dans: International Journal of Theoretical and Applied Finance, vol. 23, no. 5, p. 2050033, 2020.

Résumé | Liens | BibTeX

Mark Craddock; Martino Grasselli

Lie symmetry methods for local volatility models Article de journal

Dans: Stochastic Processes And Their Applications, vol. 130, no. 6, p. 3802-3841, 2020.

Résumé | Liens | BibTeX

Mesias Alfeus; Martino Grasselli; Erik Schlögl

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors Article de journal

Dans: Journal Of Economic Dynamics & Control, vol. 114, p. 103861, 2020.

Résumé | Liens | BibTeX

Gorgia Callegaro; Lucio Fiorin; Martino Grasselli

Quantization Meets Fourier: a New Technology for Pricing Options Article de journal

Dans: Annals Of Operations Research, vol. 282, p. 59-86, 2019.

Résumé | Liens | BibTeX

Griselda Deelstra; Martino Grasselli; Christopher Van Weverberg

Explosion time for some Laplace transforms of the Wishart process Article de journal

Dans: Stochastic Models, vol. 35, no. 1, p. 89-104, 2019.

Résumé | Liens | BibTeX

Martino Grasselli

The 4/2 stochastic volatility mode Article de journal

Dans: Mathematical Finance, vol. 27, no. 4, p. 1013-1034, 2017.

Résumé | Liens | BibTeX

Gorgia Callegaro; Lucio Fiorin; Martino Grasselli

Pricing via Quantization in Stochastic Volatility Models Article de journal

Dans: Quantitative Finance, vol. 17, no. 6, p. p855-p872, 2017.

Résumé | Liens | BibTeX

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

Dans: Insurance Mathematics & Economics, vol. 71, p. p205-p219, 2016.

Résumé | Liens | BibTeX

Martino Grasselli; Giulio Miglietta

A Flexible Spot Multiple-Curve Model Article de journal

Dans: Quantitative Finance, vol. 16, no. 10, p. p1465-p1477, 2016.

Résumé | Liens | BibTeX

Ruggero Caldana; Alexandro Gnoatto; Martino Grasselli

General closed-form basket option pricing bounds Article de journal

Dans: Quantitative Finance, vol. 16, no. 4, p. p535-p554, 2016.

Résumé | Liens | BibTeX

Martino Grasselli; Jacinto Marabel Romo

Stochastic Skew and Target Volatility Options Article de journal

Dans: Journal Of Futures Markets, vol. 26, no. 2, p. 174-193, 2016.

Résumé | Liens | BibTeX

José Da Fonseca; Alexandro Gnoatto; Martino Grasselli

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

Dans: Operations Research Letters, vol. 43, no. 6, p. 601-607, 2015.

Résumé | Liens | BibTeX

Jan Baldeaux; Martino Grasselli; Eckhard Platen

Pricing currency derivatives under the benchmark approach Article de journal

Dans: Journal Of Banking & Finance, vol. 53, p. 34-48,, 2015.

Résumé | Liens | BibTeX

Carl Chiarella; José Da Fonseca; Martino Grasselli

Pricing Range Notes within Wishart Affine Models Article de journal

Dans: Insurance Mathematics & Economics, vol. 58, no. 1, p. 193-203, 2014.

Résumé | Liens | BibTeX

Alexandro Gnoatto; Martino Grasselli

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

Dans: Siam Journal On Financial Mathematics, vol. 5, p. 493-531, 2014.

Résumé | Liens | BibTeX

José Da Fonseca; Martino Grasselli; Florian Ielpo

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

Dans: Studies In Nonlinear Dynamics And Econometrics, vol. 18, no. 3, p. 253-289, 2014.

Résumé | Liens | BibTeX

Alexandro Gnoatto; Martino Grasselli

The explicit Laplace transform for the Wishart process Article de journal

Dans: Journal Of Applied Probability, vol. 51, no. 3, p. 640-656, 2014.

Résumé | Liens | BibTeX

Conférences

Martino Grasselli

Smile modelling for exchange-traded products on Futures strategies Conférence

Research in Options, Rio de Janeiro, Brazil, 2020.

Résumé | Liens | BibTeX

Martino Grasselli

Functional and recursive quantization for a class of non markovian processes Conférence

XXI Workshop in Quantitative Finance, Napoli, Italy, 2020.

Liens | BibTeX

Martino Grasselli

Is Volatility Rough? Conférence

Quantitative Methods in Finance 2019 Conference, Sydney, Australia, 2019.

Liens | BibTeX

Martino Grasselli

Functional and recursive quantization for a class of non markovian processes Conférence

Research in Options 2019, Rio de Janeiro, Brazil, 2019.

Liens | BibTeX

Martino Grasselli

An efficient hybrid scheme for Fractional Riccati ODEs Conférence

Quantitative Methods in Finance 2018, Sydney, Australia, 2018.

BibTeX

Gorgia Callegaro; Martino Grasselli; Gilles Pagès

Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Conférence

Quantitative Methods in Finance 2018, Sydney, Australia, 2018.

BibTeX

Gorgia Callegaro; Martino Grasselli; Gilles Pagès

Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Conférence

Research in Options 2018, Rio de Janeiro, Brazil, 2018.

Liens | BibTeX

Martino Grasselli

Recent results on Quantization in Finance Conférence

4th Workshop on Branching Processes and Related Topics, East China Normal University, Shangai, China, 2018.

BibTeX

Martino Grasselli

A consistent stochastic model of the term structure of interest rates for multiple tenors Conférence

Risk and Stochastic Conference London School of Economics - The Department's annual conference, Londres, UK, 2018.

Liens | BibTeX

Martino Grasselli

A new technology for pricing options: Quantization meets Conférence

17th Winter school on Mathematical Finance, Lunteren, Netherlands, 2018.

Liens | BibTeX

Martino Grasselli

Quantization meets Fourier: A New methodology for pricing options Conférence

Quantitative Methods in Finance 2017, Sydney, Australia, 2017.

BibTeX

Martino Grasselli; Gorgia Callegaro; Lucio Fiorin

Quantization meets Fourier: A New methodology for pricing options Conférence

6th International Conference Mathematics in Finance, Cape Town, South Africa, 2017.

BibTeX

Martino Grasselli

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors Conférence

Research in Options 2017, Rio de Janeiro, Brazil, 2017.

Liens | BibTeX

Martino Grasselli

Organizer of a mini-symposium on Quantization Conférence

8th General AMaMeF Conference, Amsterdam, Netherlands, 2017.

Liens | BibTeX

Martino Grasselli

A consistent stochastic model of the term structure of interest rates for multiple tenors Conférence

Second Paris-Asia Conference in Quantitative Finance, Suzhou, China, 2017.

Liens | BibTeX

Martino Grasselli

Lie symmetry methods for local volatility models Conférence

Research in Options 2016, Rio de Janeiro, Brazil, 2016.

Liens | BibTeX

Martino Grasselli

Quantized stochastic volatility Conférence

Quantitative Methods in Finance 2016, Sydney, Australia, 2016.

BibTeX

Martino Grasselli

Pricing via Recursive Quantization in Local and Stochastic Volatility Models Conférence

QUANT 12 workshop dedicated to quantitative finance and insurance, Ecully, France, 2016.

Liens | BibTeX

Lucio Fiorin; Gorgia Callegaro; Martino Grasselli

Pricing via Recursive Quantization in Stochastic Volatility Models Conférence

XVII Workshop in Quantitative Finance, Pise, Italie, 2016.

Liens | BibTeX

Martino Grasselli

Pricing via Quantization in stochastic volatility models Conférence

Quantitative Methods in Finance 2015, Sydney, Australia, 2015.

BibTeX

Martino Grasselli

Lie Symmetries in local volatility models Conférence

XVI Workshop in Quantitative Finance, Firenze, Italie, 2015.

BibTeX

Martino Grasselli

Analitically and Numerically Tractable Local Volatility Models Conférence

Quantitative Methods in Finance 2014, Sydney, Australia, 2014.

BibTeX

Actes

Martino Grasselli

CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets Inproceedings

Dans: proceedings of the 3rd International Workshop on Cyber Threat Intelligence Management (CyberTIM 2020), Dublin, Ireland, 2020.

Liens | BibTeX

Divers

Gorgia Callegaro; Martino Grasselli; Gilles Pagès

Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Divers

2018.

Liens | BibTeX

Gorgia Callegaro; Lucio Fiorin; Martino Grasselli

American quantized calibration in stochastic volatility Divers

Risk.net, 2018.

Liens | BibTeX

Mesias Alfeus; Martino Grasselli; Erik Schlögl

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors Divers

UTS QFR research paper, 2017.

Liens | BibTeX

Mark Craddock; Martino Grasselli

Lie Symmetry Methods for Local Volatility Models Divers

UTS QFR research paper, 2016.

Liens | BibTeX

Alexandro Gnoatto; Martino Grasselli; Eckhard Platen

A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds Divers

UTS QFR research paper, 2016.

Liens | BibTeX

Gorgia Callegaro; Lucio Fiorin; Martino Grasselli

Quantized Local Volatility Divers

Risk.net, 2015.

Liens | BibTeX

Gorgia Callegaro; Lucio Fiorin; Martino Grasselli

Quantized Calibration in Local Volatility Models Divers

2015.

Liens | BibTeX

Griselda Deelstra; Martino Grasselli; Christopher Van Weverberg

Explosion time for some Wishart transforms Divers

2015.

Liens | BibTeX




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