Servizio momentaneamente sospeso per manutenzione.

Rubrica

Personale Strutture

MARTINO GRASSELLI

Torna alla lista

Vai all organigramma

Qualifica

Professore Ordinario

Struttura

Dipartimento di Matematica "Tullio Levi-Civita" - DM

Indirizzo

VIA TRIESTE, 63 - TORRE ARCHIMEDE - PADOVA

Telefono

0498271402

E-mail

martino.grasselli@unipd.it

Martino Grasselli


Professore Ordinario, SSD SECS/S-06
http://didattica.unipd.it/offerta/docente/0AB51E6542EC80B6248FBC339DA3E416
Università degli Studi di Padova
Dipartimento di Matematica
Via Trieste, 63 Padova, Italy
grassell@math.unipd.it

and
Head of De Vinci Finance Group
http://www.devinci.fr/research-center/finance-group/
Pôle Universitaire Léonard de Vinci
92916 Paris La Défense, France
martino.grasselli@devinci.fr

and
Scientific Head of Progetto Derivati with Confindustria Padova

Education



Apr-2001
Ph.D in Quantitative Finance at Université Paris I – Panthéon - Sorbonne,
Dissertation: Long-Term Portfolio Management: a Mathematical Finance Approach Supervisor: Prof. E. Jouini (Univ. Paris Dauphine)

Jan-1999
Ph.D. in Applied Mathematics at University of Trieste, Italy
Dissertation: Pension Funds: Deterministic and Stochastic Approaches
Supervisor: Prof. F. Rossi (University of Verona)

1998-2000
PhD Fellowship of CREST (Centre de Recherche en Economie & Statistiques), Ecole Nationale de la Statistique & de l’Administration Economique.



October 96-June 97
DEA Master courses in Probability and Finance at Université Paris VI (directed by N. El Karoui) and Troisième année at ENSAE (Ecole Nationale de la Statistique et de
l’Administration Economique), Paris

Nov-1994
Bachelor in Mathematics at University of Padova
Dissertation: Financial-project valuation models under different market conditions Supervisor: Prof. B. Viscolani (Univ. of Padova)



Visiting and Teaching Appointments


Dec 2017, Dec-2016, Dec 2015, Dec 2014
Visiting Professor at University of Technology, Sydney, School of Finance and Economics
Nov-2013
Habilitation for the Full Professor Degree in Italy (Score: Excellent, top 1%) for SECS-S/06
Since Sept-2013
Head of DeVinci Finance Group at Pôle Universitaire Léonard de Vinci, France
May-Jun2013
Visiting Professor at University of Paris Dauphine, France
Aug-Sept2011
Visiting Professor at University of Technology, Sydney, School of Finance and Economics
Since19-01-2005
Visiting Associate Professor at Ecole Supérieure d'Ingénieur Léonard de Vinci, Département des Mathématiques et Ingénierie Financière
Since28-12-2004
Professore Associato at Università di Padova, Department of Mathematics
2004-2005
Professeur Délégué at Ecole Supérieure d'Ingénieur Léonard de Vinci, Département des Mathématiques et Ingénierie Financière
2000-2004
Assistant Professor at University of Verona, Faculty of Economics
Feb-Jul 2003
Maître de Conférences Invité at Université d’Evry
Apr-Jun 2002
Professeur Vacataire at ESSEC, Finance Department
Apr-Jun2002
Professeur Vacataire at Ecole Supérieure d’Ingénierie Léonard de Vinci, Dept DER
Feb-Apr 2001
Professeur Vacataire at Ecole Supérieure d’Ingénierie Léonard de Vinci, Dept DER

Avvisi

Insegnamenti

Pubblicazioni

Selected publications

Grasselli, M., Mazzoran, A. and Pallavicini, A. (2023) “A general framework for a joint calibration of VIX and VXX options”. Annals of Operations Research, published online.

Callegaro, G., Gnoatto, A. and Grasselli, M. (2022) “A Fully Quantization Scheme for FBSDEs”. Applied Mathematics and Computation, to appear.

Callegaro, G., Grasselli, M. and Pagès, G. (2021) “Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)”. Mathematics of Operations Research, 46(1), 221-254.

Alfeus, M., M. Grasselli and Schlogl, E. (2021) “A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors”. Journal of Economic Dynamics and Control, to appear.

Garcin, M. and Grasselli, M. (2021) “Long vs Short Time Scales: The Rough Dilemma and Beyond”. Decisions in Economics and Finance, to appear.

Gnoatto, A., Grasselli, M. and Platen, E. (2021) “Calibration to FX triangles of the 4/2 model under the benchmark approach”. Decisions in Economics and Finance, to appear.

Craddock, M. and Grasselli, M. (2020) “Lie Symmetry Methods for Local Volatility Models“. Stochastic Processes and Their Applications, 130(6), 3802-3841.

Callegaro, G., Fiorin, L. and Grasselli, M. (2019) “Quantization meets Fourier: a new technology for pricing options”. Annals of Operations Research, 282 (1-2), 59-86.

Grasselli, M. (2017) “The 4/2 Stochastic Volatility Model “. Mathematical Finance,27 (4), 1013-1034.

Callegaro, G., Fiorin, L. and Grasselli, M. (2015) “Pricing via Quantization in Stochastic Volatility Models”. Quantitative Finance, forthcoming.

Deelstra, G., Grasselli, M. and Van Weverberg, C. (2016) “The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options”. . IME Insurance: Mathematics and Economics, 71, 205-219.

Grasselli, M, and G. Miglietta (2016) “A Flexible Spot Multiple-Curve Model” Quantitative Finance, 16(10), 1465-1477.

Grasselli, M., Marabel Romo, J. (2016) “Stochastic Skew and Target Volatility Options”. The Journal of Futures Markets, 36(2), 174-193.

Caldana, R., Fusai, G., Gnoatto, A. and M. Grasselli (2016) “General Closed-From Basket Option Pricing Bounds”. Quantitative Finance, 16(4), 535-554.

Da Fonseca, J., Gnoatto, A. and M. Grasselli (2015) “Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique”. Operations Research Letters, 43, 601-607.

Callegaro, G., Fiorin, L. and Grasselli, M. (2015) “Quantized Calibration in Local Volatility Models”, Risk Magazine, April.

Baldeaux, J., M. Grasselli and E. Platen (2015) “Pricing currency derivatives under the benchmark approach”. Journal of Banking and Finance, 53, 34-48.

Chiarella, C., Da Fonseca, J., Grasselli, M. (2014) “Pricing Range Notes within Wishart Affine Models”. IME Insurance: Mathematics and Economics,58, 193-203.

Gnoatto, A. and M. Grasselli (2014) “An affine multi-currency model with stochastic volatility and stochastic interest rates.” SIAM Journal of Financial Mathematics, 5, 493-531.

Gnoatto, A. and M. Grasselli (2014) “The explicit Laplace transform for the Wishart process”. Journal of Applied Probability, 51, 640-656.

Da Fonseca, J., M. Grasselli and F. Ielpo (2014) “Estimating the Wishart
Affine Stochastic Correlation Model using the Empirical Characteristic Function”. Studies in Nonlinear Dynamics & Econometrics, 18(3), 253-289.