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Bond price and impulse response function for the Balduzzi, Das, Foresi and Sundaram (1996) model
Grasselli, Martino; Tebaldi, Claudio - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 3, pp. 359-374
Persistent link: https://www.econbiz.de/10003690357
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Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles - In: Mathematics of operations research 46 (2021) 1, pp. 221-254
Persistent link: https://www.econbiz.de/10012498120
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Long versus short time scales : the rough dilemma and beyond
Garcin, Matthieu; Grasselli, Martino - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 257-278
Persistent link: https://www.econbiz.de/10013380566