claudio tebaldi
claudio tebaldi
Professor of Quantitative Finance, IGIER Bocconi University
Adresse e-mail validée de unibocconi.it
Titre
Citée par
Citée par
Année
Option pricing when correlations are stochastic: an analytical framework
J Da Fonseca, M Grasselli, C Tebaldi
Review of Derivatives Research 10 (2), 151-180, 2007
2032007
Multifractal scaling in the Bak-Tang-Wiesenfeld sandpile and edge events
C Tebaldi, M De Menech, AL Stella
Physical review letters 83 (19), 3952, 1999
1961999
A multifactor volatility Heston model
J Da Fonseca, M Grasselli, C Tebaldi
Quantitative Finance 8 (6), 591-604, 2008
1902008
Rare events and breakdown of simple scaling in the Abelian sandpile model
M De Menech, AL Stella, C Tebaldi
Physical Review E 58 (3), R2677, 1998
1371998
Solvable affine term structure models
M Grasselli, C Tebaldi
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
1262008
Illiquid assets and optimal portfolio choice
ES Schwartz, C Tebaldi
National Bureau of Economic Research Working Paper Series, 2006
782006
Long-run risk and the persistence of consumption shocks
F Ortu, A Tamoni, C Tebaldi
The Review of Financial Studies 26 (11), 2876-2915, 2013
732013
The scale of predictability
FM Bandi, B Perron, A Tamoni, C Tebaldi
Journal of Econometrics 208 (1), 120-140, 2019
56*2019
The price of the smile and variance risk premia
PH Gruber, C Tebaldi, F Trojani
Management Science, 2020
54*2020
Self-organized critical scaling at surfaces
AL Stella, C Tebaldi, G Caldarelli
Physical Review E 52 (1), 72, 1995
211995
Levered returns and capital structure imbalances
F Ippolito, R Steri, C Tebaldi
Swiss Finance Institute Research Paper, 2017
18*2017
Hedging using simulation: a least squares approach
C Tebaldi
Journal of Economic Dynamics and Control 29 (8), 1287-1312, 2005
142005
Branching processes and evolution at the ends of a food chain
G Caldarelli, C Tebaldi, AL Stella
Physical review letters 76 (26), 4983, 1996
131996
A persistence‐based Wold‐type decomposition for stationary time series
F Ortu, F Severino, A Tamoni, C Tebaldi
Quantitative Economics 11 (1), 203-230, 2020
102020
A multivariate model of strategic asset allocation with longevity risk
E Bisetti, CA Favero, G Nocera, C Tebaldi
Journal of Financial and Quantitative Analysis 52 (5), 2251-2275, 2017
102017
Stochastic Jacobian and Riccati ODE in affine term structure models
M Grasselli, C Tebaldi
Decisions in Economics and Finance 30 (2), 95-108, 2007
62007
Bond price and impulse response function for the Balduzzi, Das, Foresi and Sundaram (1996) model
M Grasselli, C Tebaldi
Economic Notes 33 (3), 359-374, 2004
62004
Asset pricing in network economies with systemic risk
A Buraschi, C Tebaldi
42017
Consumer protection and the design of the default option of a pan-European pension product
A Berardi, C Tebaldi, F Trojani
Swiss Finance Institute Research Paper, 2018
22018
One Penny Arbitrages or: Free Snacks without Free Lunches
E Castagnoli, G Favero, C Tebaldi
22011
Le système ne peut pas réaliser cette opération maintenant. Veuillez réessayer plus tard.
Articles 1–20