Narrow search
Showing 1 - 4 of 4
Cover Image
Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Cover Image
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da; Gnoatto, Alessandro; Grasselli, Martino - In: Operations research letters 43 (2015) 6, pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
Cover Image
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik - 2017
Persistent link: https://www.econbiz.de/10011778187
Cover Image
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik - In: Journal of economic dynamics & control 114 (2020), pp. 1-42
Persistent link: https://www.econbiz.de/10012502563