Martino GrasselliProfessore Ordinario, SSD SECS/S-06http://didattica.unipd.it/offerta/docente/0AB51E6542EC80B6248FBC339DA3E416Università degli Studi di PadovaDipartimento di MatematicaVia Trieste, 63 Padova, Italygrassell@math.unipd.itandHead of De Vinci Finance Grouphttp://www.devinci.fr/research-center/finance-group/Pôle Universitaire Léonard de Vinci92916 Paris La Défense, Francemartino.grasselli@devinci.frandScientific Head of Progetto Derivati with Confindustria PadovaEducation Apr-2001Ph.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-1999Ph.D. in Applied Mathematics at University of Trieste, Italy Dissertation: Pension Funds: Deterministic and Stochastic ApproachesSupervisor: Prof. F. Rossi (University of Verona) 1998-2000PhD Fellowship of CREST (Centre de Recherche en Economie & Statistiques), Ecole Nationale de la Statistique & de l’Administration Economique.October 96-June 97DEA 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-1994Bachelor in Mathematics at University of PadovaDissertation: 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 EconomicsNov-2013Habilitation for the Full Professor Degree in Italy (Score: Excellent, top 1%) for SECS-S/06Since Sept-2013Head of DeVinci Finance Group at Pôle Universitaire Léonard de Vinci, FranceMay-Jun2013Visiting Professor at University of Paris Dauphine, FranceAug-Sept2011Visiting Professor at University of Technology, Sydney, School of Finance and EconomicsSince19-01-2005Visiting Associate Professor at Ecole Supérieure d'Ingénieur Léonard de Vinci, Département des Mathématiques et Ingénierie FinancièreSince28-12-2004Professore Associato at Università di Padova, Department of Mathematics2004-2005 Professeur Délégué at Ecole Supérieure d'Ingénieur Léonard de Vinci, Département des Mathématiques et Ingénierie Financière2000-2004Assistant Professor at University of Verona, Faculty of EconomicsFeb-Jul 2003Maître de Conférences Invité at Université d’Evry Apr-Jun 2002Professeur Vacataire at ESSEC, Finance Department Apr-Jun2002Professeur Vacataire at Ecole Supérieure d’Ingénierie Léonard de Vinci, Dept DER Feb-Apr 2001Professeur Vacataire at Ecole Supérieure d’Ingénierie Léonard de Vinci, Dept DER

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.

Download Pubblicazioni_Grasselli.pdf