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Gruppiert nach: Dokumententyp |
Veröffentlichungsdatum
Anzahl der Publikationen: 6
2016
Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro und Grasselli, Martino
(2016):
General closed-form basket option pricing bounds.
In: Quantitative Finance, Bd. 16, Nr. 4: S. 535-554
2014
Gnoatto, Alessandro und Grasselli, Martino
(2014):
The Explicit Laplace Transform for the Wishart Process.
In: Journal of Applied Probability, Bd. 51, Nr. 3: S. 640-656
Gnoatto, Alessandro und Grasselli, Martino
(2014):
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates.
In: SIAM Journal on Financial Mathematics, Bd. 5, Nr. 1: S. 493-531
Da Fonseca, Joss; Gnoatto, Alessandro und Grasselli, Martino
(2014):
Analytic Pricing of Volatility-Equity Options within Affine Models: An Efficient Conditioning Technique.
SSRN
2013
Da Fonseca, José; Gnoatto, Alessandro und Grasselli, Martino
(2013):
A flexible matrix Libor model with smiles.
In: Journal of Economic Dynamics and Control, Bd. 37, Nr. 4: S. 774-793
De Col, Alvise; Gnoatto, Alessandro und Grasselli, Martino
(2013):
Smiles all around: FX joint calibration in a multi-Heston model.
In: Journal of Banking & Finance, Bd. 37, Nr. 10: S. 3799-3818