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A fully quantization-based scheme for FBSDEs
Callegaro, Giorgia; Gnoatto, Alessandro; Grasselli, Martino - 2021
Persistent link: https://www.econbiz.de/10013347389
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
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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