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Claudio Tebaldi

Personal Details

First Name:Claudio
Middle Name:
Last Name:Tebaldi
Suffix:
RePEc Short-ID:pte303
http://faculty.unibocconi.it/claudiotebaldi/

Affiliation

(50%) BAFFI CAREFIN Centre for Applied Research on International Markets, Money Banking and Regulation
Università Commerciale Luigi Bocconi

Milano, Italy
http://www.bafficarefin.unibocconi.it/
RePEc:edi:cbbocit (more details at EDIRC)

(50%) Innocenzo Gasparini Institute for Economic Research (IGIER)
Università Commerciale Luigi Bocconi

Milano, Italy
http://www.igier.unibocconi.it/
RePEc:edi:igierit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. 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.
  2. Bisetti, Emilio & Favero, Carlo A. & 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.
  3. Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
  4. Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2011. "The Relative Leverage Premium," Working Papers 398, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
  6. Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.

Articles

  1. Fulvio Ortu & Andrea Tamoni & Claudio Tebaldi, 2013. "Long-Run Risk and the Persistence of Consumption Shocks," Review of Financial Studies, Society for Financial Studies, vol. 26(11), pages 2876-2915.
  2. 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.
  3. Martino Grasselli & Claudio Tebaldi, 2008. "Solvable Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 135-153, January.
  4. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
  5. 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.
  6. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  7. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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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 6 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.
  1. NEP-RMG: Risk Management (4) 2003-10-20 2015-05-22 2015-06-20 2016-07-30
  2. NEP-MAC: Macroeconomics (2) 2014-03-30 2015-06-20
  3. NEP-AGE: Economics of Ageing (1) 2015-05-22
  4. NEP-CMP: Computational Economics (1) 2003-10-20
  5. NEP-DGE: Dynamic General Equilibrium (1) 2006-11-04
  6. NEP-ETS: Econometric Time Series (1) 2015-06-20
  7. NEP-FMK: Financial Markets (1) 2016-07-30
  8. NEP-FOR: Forecasting (1) 2015-06-20
  9. NEP-UPT: Utility Models & Prospect Theory (1) 2006-11-04

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