Claudio Tebaldi
Personal Details
First Name: | Claudio |
Middle Name: | |
Last Name: | Tebaldi |
Suffix: | |
RePEc Short-ID: | pte303 |
[This author has chosen not to make the email address public] | |
http://faculty.unibocconi.it/claudiotebaldi/ | |
Affiliation
(50%) BAFFI Centre on Economics, Finance and Regulation
Università Commerciale Luigi Bocconi
Milano, Italyhttp://www.bafficarefin.unibocconi.it/
RePEc:edi:cbbocit (more details at EDIRC)
(50%) Innocenzo Gasparini Institute for Economic Research (IGIER)
Università Commerciale Luigi Bocconi
Milano, Italyhttp://www.igier.unibocconi.it/
RePEc:edi:igierit (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Bottazzi, Laura & Gopalakrishna, Goutham & Tebaldi, Claudio, 2023. "Supply Chain Finance and Firm Capital Structure," CEPR Discussion Papers 18468, C.E.P.R. Discussion Papers.
- Marina Di Giacinto & Claudio Tebaldi & Tai-Ho Wang, 2021. "Optimal order execution under price impact: A hybrid model," Papers 2112.02228, arXiv.org, revised Aug 2022.
- Erio Castagnoli & Giacomo Cattelan & Fabio Maccheroni & Claudio Tebaldi & Ruodu Wang, 2021. "Star-shaped Risk Measures," Papers 2103.15790, arXiv.org, revised Apr 2022.
- Andrea Berardi & Claudio Tebaldi & Fabio Trojani, 2019. "Consumer Protection and the Design of the Default Option of a Pan-European Pension Product," Swiss Finance Institute Research Paper Series 19-19, Swiss Finance Institute, revised Apr 2019.
- Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2018. "Levered Returns and Capital Structure Imbalances," Swiss Finance Institute Research Paper Series 18-36, Swiss Finance Institute.
- Simone Cerreia-Vioglio & Fulvio Ortu & Federico Severino & Claudio Tebaldi, 2017. "Multivariate Wold Decompositions," Working Papers 606, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI, 2015. "The Price of the Smile and Variance Risk Premia," Swiss Finance Institute Research Paper Series 15-36, Swiss Finance Institute.
- Favero, Carlo A. & Bisetti, Emilio & Nocera, Giacomo & Tebaldi, Claudio, 2015.
"A Multivariate Model of Strategic Asset Allocation with Longevity Risk,"
CEPR Discussion Papers
10595, C.E.P.R. Discussion Papers.
- Bisetti, Emilio & Favero, Carlo A. & Nocera, Giacomo & Tebaldi, Claudio, 2017. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2251-2275, October.
- Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers 503, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2017. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Post-Print hal-01633544, HAL.
- Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015.
"The scale of predictability,"
CIRANO Working Papers
2015s-21, CIRANO.
- Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019. "The scale of predictability," Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
- Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
- Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2011. "The Relative Leverage Premium," Working Papers 398, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Schwartz, Eduardo S & Tebaldi, Claudio, 2004.
"Illiquid Assets and Optimal Portfolio Choice,"
University of California at Los Angeles, Anderson Graduate School of Management
qt7q65t12x, Anderson Graduate School of Management, UCLA.
- Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
- Claudio Tebaldi, 2002.
"Hedging using simulation: a least squares approach,"
Computing in Economics and Finance 2002
279, Society for Computational Economics.
- Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
Articles
- Berardi, Andrea & Tebaldi, Claudio, 2024. "Saving for retirement in Europe: the long-term risk-return tradeoff," Journal of Pension Economics and Finance, Cambridge University Press, vol. 23(2), pages 272-293, April.
- Marina Giacinto & Claudio Tebaldi & Tai-Ho Wang, 2024. "Optimal order execution under price impact: a hybrid model," Annals of Operations Research, Springer, vol. 336(1), pages 605-636, May.
- Andrea Buraschi & Claudio Tebaldi, 2024. "Financial Contagion in Network Economies and Asset Prices," Management Science, INFORMS, vol. 70(1), pages 484-506, January.
- Simone Cerreia-Vioglio & Fulvio Ortu & Federico Severino & Claudio Tebaldi, 2023. "Multivariate Wold decompositions: a Hilbert A-module approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 45-96, June.
- Erio Castagnoli & Giacomo Cattelan & Fabio Maccheroni & Claudio Tebaldi & Ruodu Wang, 2022. "Star-Shaped Risk Measures," Operations Research, INFORMS, vol. 70(5), pages 2637-2654, September.
- Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021. "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, vol. 67(7), pages 4056-4074, July.
- Fulvio Ortu & Federico Severino & Andrea Tamoni & Claudio Tebaldi, 2020. "A persistence‐based Wold‐type decomposition for stationary time series," Quantitative Economics, Econometric Society, vol. 11(1), pages 203-230, January.
- Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019.
"The scale of predictability,"
Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
- Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
- Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
- Bisetti, Emilio & Favero, Carlo A. & Nocera, Giacomo & Tebaldi, Claudio, 2017.
"A Multivariate Model of Strategic Asset Allocation with Longevity Risk,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2251-2275, October.
- Favero, Carlo A. & Bisetti, Emilio & Nocera, Giacomo & Tebaldi, Claudio, 2015. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," CEPR Discussion Papers 10595, C.E.P.R. Discussion Papers.
- Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers 503, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2017. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Post-Print hal-01633544, HAL.
- Fulvio Ortu & Andrea Tamoni & Claudio Tebaldi, 2013. "Long-Run Risk and the Persistence of Consumption Shocks," The Review of Financial Studies, Society for Financial Studies, vol. 26(11), pages 2876-2915.
- Ludovico Perissinotto & Claudio Tebaldi, 2009. "A "Coherent State Transform" Approach To Derivative Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 125-151.
- Martino Grasselli & Claudio Tebaldi, 2008. "Solvable Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 135-153, January.
- JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
- José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May.
- Tebaldi, Claudio, 2005.
"Hedging using simulation: a least squares approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
- Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
- Claudio Tebaldi, 2001. "Hedging a Portfolio of Derivative Securities: A Simulation Approach," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 257-279, July.
Chapters
- Domenica Di Virgilio & Fulvio Ortu & Federico Severino & Claudio Tebaldi, 2019. "Optimal Asset Allocation with Heterogeneous Persistent Shocks and Myopic and Intertemporal Hedging Demand," World Scientific Book Chapters, in: Behavioral Finance The Coming of Age, chapter 4, pages 57-108, World Scientific Publishing Co. Pte. Ltd..
Books
- Carlo A Favero & Claudio Tebaldi, 2025. "Lectures on the Theory and Application of Modern Finance with R and ChatGPT," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 14268.
More information
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (7) 2003-10-20 2015-05-22 2015-06-20 2016-07-30 2018-01-22 2019-06-24 2021-04-12. Author is listed
- NEP-AGE: Economics of Ageing (3) 2015-05-22 2018-01-22 2019-06-24
- NEP-FOR: Forecasting (2) 2015-06-20 2017-12-03
- NEP-MAC: Macroeconomics (2) 2014-03-30 2015-06-20
- NEP-CFN: Corporate Finance (1) 2018-08-27
- NEP-CMP: Computational Economics (1) 2003-10-20
- NEP-DGE: Dynamic General Equilibrium (1) 2006-11-04
- NEP-ETS: Econometric Time Series (1) 2015-06-20
- NEP-EUR: Microeconomic European Issues (1) 2019-06-24
- NEP-FIN: Finance (1) 2003-10-20
- NEP-FMK: Financial Markets (1) 2016-07-30
- NEP-UPT: Utility Models and Prospect Theory (1) 2006-11-04
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