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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/

: 025836.5306
025836.5314
via Gobbi, 5, 20136 Milano
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/

: 0039.02.5836.3300
0039.02.5836.3302
Via Roentgen, 1, 20136 MILANO
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.
    • 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.
  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. Martino Grasselli & Claudio Tebaldi, 2004. "Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(3), pages 359-374, November.
  8. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

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.

    Cited by:

    1. Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
    2. Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
    3. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019. "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, vol. 131(1), pages 186-205.
    4. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers 2018-02, Department of Economics and Business Economics, Aarhus University.
    5. Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018. "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(3), pages 425-460.
    6. McGee, Richard J. & McGroarty, Frank, 2017. "The risk premium that never was: A fair value explanation of the volatility spread," European Journal of Operational Research, Elsevier, vol. 262(1), pages 370-380.

  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.

    Cited by:

    1. Chen, Zhanhui & Yang, Bowen, 2019. "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, vol. 133(1), pages 225-249.

  3. 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.

    Cited by:

    1. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
    2. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.

  4. Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2011. "The Relative Leverage Premium," Working Papers 398, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Emanuela Giacomini & David Ling & Andy Naranjo, 2015. "Leverage and Returns: A Cross-Country Analysis of Public Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 125-159, August.

  5. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.
    2. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
    3. Huyên Pham & Peter Tankov, 2008. "A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 613-627, October.
    4. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
    5. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    6. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    7. Ljudmila A. Bordag & Ivan P. Yamshchikov, 2015. "Optimization problem for a portfolio with an illiquid asset: Lie group analysis," Papers 1512.06295, arXiv.org.
    8. Xing, Ran, 2016. "The liquidity management of institutional investors and the pricing of liquidity risk," Other publications TiSEM 1df96fc1-de24-4e94-a747-3, Tilburg University, School of Economics and Management.
    9. Michael Ludkovski & Qunying Shen, 2013. "European Option Pricing With Liquidity Shocks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1-30.
    10. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
    11. L. A. Bordag & I. P. Yamshchikov & D. Zhelezov, 2015. "Portfolio optimization in the case of an asset with a given liquidation time distribution," Post-Print hal-01186961, HAL.
    12. Ebele Sabina Nsofor, 2016. "Market Liquidity as a Determinant of Stock Market Development in Nigeria," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 5(1), pages 11-21.
    13. Martin Hoesli & Eva Liljeblom & Anders Löflund, 2012. "The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight," Swiss Finance Institute Research Paper Series 12-22, Swiss Finance Institute.
    14. Sergio Mayordomo & María Rodríguez-Moreno & Juan Ignacio Peña, 2012. "Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain," Faculty Working Papers 24/12, School of Economics and Business Administration, University of Navarra.
    15. Michael Ludkovski & Hyekyung Min, 2010. "Illiquidity Effects in Optimal Consumption-Investment Problems," Papers 1004.1489, arXiv.org, revised Sep 2010.
    16. Michael Ludkovski & Qunying Shen, 2012. "European Option Pricing with Liquidity Shocks," Papers 1205.1007, arXiv.org.
    17. Ljudmila A. Bordag & Ivan P. Yamshchikov & Dmitry Zhelezov, 2014. "Portfolio optimization in the case of an asset with a given liquidation time distribution," Papers 1407.3154, arXiv.org.
    18. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016.

  6. Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.

    Cited by:

    1. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.

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.

    Cited by:

    1. Jozef Barun'ik & Matv{e}j Nevrla, 2018. "Tail Risks, Asset prices, and Investment Horizons," Papers 1806.06148, arXiv.org.
    2. Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu, 2019. "Consumption growth predictability and asset prices," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 95-118.
    3. Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
    4. Jozef Baruník & Evžen Kocenda, 2019. "Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets," CESifo Working Paper Series 7756, CESifo Group Munich.
    5. Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
    6. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers 257939806, Lancaster University Management School, Economics Department.
    7. 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.
    8. David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2018. "Stochastic Impatience and the Separation of Time and Risk Preferences," PIER Working Paper Archive 18-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 08 Sep 2018.
    9. Xyngis, Georgios, 2017. "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 43-65.
    10. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    11. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2018. "Forecasting global stock market implied volatility indices," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 111-129.
    12. Teply, Petr & Kvapilikova, Ivana, 2017. "Measuring systemic risk of the US banking sector in time-frequency domain," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 461-472.
    13. Federico Severino, 2016. "Isometric operators on Hilbert spaces and Wold decomposition of stationary time series," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 203-234, November.
    14. 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.
    15. Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
    16. Malkhozov, Aytek & Tamoni, Andrea, 2015. "News shocks and asset prices," LSE Research Online Documents on Economics 62004, London School of Economics and Political Science, LSE Library.
    17. Thomas Conlon & John Cotter & Ramazan Gençay, 2015. "Long-run international diversification," Working Papers 201502, Geary Institute, University College Dublin.
    18. Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019. "The scale of predictability," Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
    19. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
    20. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.

  2. Martino Grasselli & Claudio Tebaldi, 2008. "Solvable Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 135-153, January.

    Cited by:

    1. 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.
    2. Kimmel, Robert L., 2007. "Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions," Working Paper Series 2007-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. O. S. Rozanova & G. S. Kambarbaeva, 2015. "Optimal strategies of investment in a linear stochastic model of market," Papers 1501.07124, arXiv.org.
    4. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
    5. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    6. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
    7. Alan Genaro & Adilson Simonis, 2015. "Estimating doubly stochastic Poisson process with affine intensities by Kalman filter," Statistical Papers, Springer, vol. 56(3), pages 723-748, August.
    8. Hlouskova, Jaroslava & Sögner, Leopold, 2015. "GMM Estimation of Affine Term Structure Models," Economics Series 315, Institute for Advanced Studies.
    9. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Takashi Kato & Jun Sekine & Kenichi Yoshikawa, 2013. "Order Estimates for the Exact Lugannani-Rice Expansion," Papers 1310.3347, arXiv.org, revised Jun 2014.
    11. Abdelkoddousse Ahdida & Aur'elien Alfonsi, 2010. "Exact and high order discretization schemes for Wishart processes and their affine extensions," Papers 1006.2281, arXiv.org, revised Mar 2013.
    12. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
    13. Kwai S. Leung & Hon Y. Ng & Hoi Y. Wong, 2014. "Stochastic Skew in the Interest Rate Cap Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1146-1169, December.
    14. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
    15. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    16. Juneja, Januj, 2017. "Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 292-305.
    17. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    18. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    19. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
    20. Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.
    21. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
    22. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    23. Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "Exact and high order discretization schemes for Wishart processes and their affine extensions," Post-Print hal-00491371, HAL.
    24. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

  3. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.

    Cited by:

    1. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
    2. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
    3. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
    4. 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.
    5. Cuchiero, Christa & Teichmann, Josef, 2015. "Fourier transform methods for pathwise covariance estimation in the presence of jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 116-160.
    6. Wang, Guanying & Wang, Xingchun & Zhou, Ke, 2017. "Pricing vulnerable options with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 91-103.
    7. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
    8. Rama Cont & Lakshithe Wagalath, 2014. "Institutional Investors and the Dependence Structure of Asset Returns," Working Papers 2014-ACF-01, IESEG School of Management.
    9. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
    10. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 457-493, June.
    11. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
    12. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    13. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
    14. Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
    15. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
    16. Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
    17. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
    18. Paul M. N. Feehan & Camelia A. Pop, 2012. "Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations," Papers 1208.2658, arXiv.org, revised Nov 2014.
    19. Oliva, I. & Renò, R., 2018. "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 242-256.
    20. Takashi Kato & Jun Sekine & Kenichi Yoshikawa, 2013. "Order Estimates for the Exact Lugannani-Rice Expansion," Papers 1310.3347, arXiv.org, revised Jun 2014.
    21. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
    22. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
    23. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
    24. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
    25. Kwai S. Leung & Hon Y. Ng & Hoi Y. Wong, 2014. "Stochastic Skew in the Interest Rate Cap Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1146-1169, December.
    26. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
    27. Christa Cuchiero & Josef Teichmann, 2011. "Path properties and regularity of affine processes on general state spaces," Papers 1107.1607, arXiv.org, revised Jan 2013.
    28. Rama Cont & Lakshithe Wagalath, 2016. "Institutional Investors And The Dependence Structure Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-37, March.
    29. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org.
    30. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    31. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
    32. Paul M. N. Feehan, 2012. "Maximum principles for boundary-degenerate second-order linear elliptic differential operators," Papers 1204.6613, arXiv.org, revised Sep 2013.
    33. Marcos Escobar & Daniel Krause & Rudi Zagst, 2016. "Stochastic covariance and dimension reduction in the pricing of basket options," Review of Derivatives Research, Springer, vol. 19(3), pages 165-200, October.
    34. Paul M. N. Feehan & Camelia A. Pop, 2011. "Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities," Papers 1110.5594, arXiv.org, revised Mar 2016.
    35. Panagiota Daskalopoulos & Paul M. N. Feehan, 2011. "Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance," Papers 1109.1075, arXiv.org.
    36. Chulmin Kang & Wanmo Kang, 2013. "Exact Simulation of Wishart Multidimensional Stochastic Volatility Model," Papers 1309.0557, arXiv.org.
    37. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
    38. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
    39. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    40. Martino Grasselli & Giulio Miglietta, 2016. "A flexible spot multiple-curve model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1465-1477, October.
    41. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    42. Olivares Pablo & Villamor Enrique, 2017. "Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model," Papers 1711.10013, arXiv.org.
    43. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
    44. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
    45. Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.
    46. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    47. Kang, Chulmin & Kang, Wanmo, 2013. "Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2419-2445.
    48. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
    49. Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.

  4. 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.

    Cited by:

    1. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
    2. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
    3. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    4. Alex Langnau, 2009. "Introduction into "Local Correlation Modelling"," Papers 0909.3441, arXiv.org, revised Sep 2009.
    5. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
    6. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," CORE Discussion Papers 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Andrey Itkin, 2017. "Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps," Papers 1701.02821, arXiv.org, revised Jan 2017.
    8. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
    9. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    10. Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.
    11. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
    12. Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2015. "The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew," Papers 1512.04741, arXiv.org, revised Oct 2018.
    13. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
    14. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
    15. Marcos Escobar & Peter Hieber & Matthias Scherer, 2014. "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, vol. 17(2), pages 191-216, July.
    16. Takashi Kato & Jun Sekine & Kenichi Yoshikawa, 2013. "Order Estimates for the Exact Lugannani-Rice Expansion," Papers 1310.3347, arXiv.org, revised Jun 2014.
    17. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
    18. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
    19. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
    20. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
    21. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org.
    22. Marcos Escobar & Sebastian Ferrando & Alexey Rubtsov, 2017. "Optimal investment under multi-factor stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 241-260, February.
    23. Daniël Linders & Jan Dhaene & Wim Schoutens, 2015. " Option prices and model-free measurement of implied herd behavior in stock markets," Working Papers Department of Accounting, Finance and Insurance (AFI) 485228, KU Leuven, Faculty of Economics and Business, Department of Accounting, Finance and Insurance (AFI).
    24. Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
    25. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
    26. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
    27. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    28. Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    29. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
    30. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    31. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
    32. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
    33. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    34. Martino Grasselli & Giulio Miglietta, 2016. "A flexible spot multiple-curve model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1465-1477, October.
    35. Marcos Escobar & Sven Panz, 2016. "A Note on the Impact of Parameter Uncertainty on Barrier Derivatives," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-25, September.
    36. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    37. Jun Ma, 2009. "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 303-327, November.
    38. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    39. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
    40. Abdelkoddousse Ahdida & Aur'elien Alfonsi & Ernesto Palidda, 2014. "Smile with the Gaussian term structure model," Papers 1412.7412, arXiv.org, revised Nov 2015.
    41. Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.
    42. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
    43. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    44. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147 Edward Elgar Publishing.
    45. Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "A Mean-Reverting SDE on Correlation matrices," Post-Print hal-00617111, HAL.
    46. Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "Exact and high order discretization schemes for Wishart processes and their affine extensions," Post-Print hal-00491371, HAL.

  5. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
    See citations under working paper version above.
  6. Martino Grasselli & Claudio Tebaldi, 2004. "Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(3), pages 359-374, November.

    Cited by:

    1. Martino Grasselli & Claudio Tebaldi, 2008. "Solvable Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 135-153, January.

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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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