| Optimal investment strategies in the presence of a minimum guarantee G Deelstra, M Grasselli, PF Koehl Insurance: Mathematics and Economics 33 (1), 189-207, 2003 | 349 | 2003 |
| Option pricing when correlations are stochastic: an analytical framework JD Fonseca, M Grasselli, C Tebaldi Review of Derivatives Research 10 (2), 151-180, 2007 | 255 | 2007 |
| A multifactor volatility Heston model J Da Fonseca, M Grasselli, C Tebaldi Quantitative Finance 8 (6), 591-604, 2008 | 246 | 2008 |
| The 4/2 stochastic volatility model: A unified approach for the Heston and the 3/2 model M Grasselli Mathematical Finance 27 (4), 1013-1034, 2017 | 185 | 2017 |
| Optimal investment strategies in a CIR framework G Deelstra, M Grasselli, PF Koehl Journal of Applied Probability 37 (4), 936-946, 2000 | 158 | 2000 |
| Solvable affine term structure models M Grasselli, C Tebaldi Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008 | 151 | 2008 |
| Optimal design of the guarantee for defined contribution funds G Deelstra, M Grasselli, PF Koehl Journal of economic dynamics and control 28 (11), 2239-2260, 2004 | 142 | 2004 |
| Riding on the smiles J Da Fonseca, M Grasselli Quantitative Finance 11 (11), 1609-1632, 2011 | 92 | 2011 |
| General closed-form basket option pricing bounds R Caldana, G Fusai, A Gnoatto, M Grasselli Quantitative Finance 16 (4), 535-554, 2016 | 67 | 2016 |
| Smiles all around: FX joint calibration in a multi-Heston model A De Col, A Gnoatto, M Grasselli Journal of Banking & Finance 37 (10), 3799-3818, 2013 | 62 | 2013 |
| A stability result for the HARA class with stochastic interest rates M Grasselli Insurance: Mathematics and Economics 33 (3), 611-627, 2003 | 56 | 2003 |
| Hedging (co) variance risk with variance swaps J Da Fonseca, M Grasselli, F Ielpo International Journal of Theoretical and Applied Finance 14 (06), 899-943, 2011 | 55 | 2011 |
| Fast hybrid schemes for fractional Riccati equations (rough is not so tough) G Callegaro, M Grasselli, G Pages Mathematics of Operations Research 46 (1), 221-254, 2021 | 50 | 2021 |
| Estimating the Wishart affine stochastic correlation model using the empirical characteristic function J Da Fonseca, M Grasselli, F Ielpo Studies in Nonlinear Dynamics & Econometrics 18 (3), 253-289, 2014 | 48 | 2014 |
| The explicit Laplace transform for the Wishart process A Gnoatto, M Grasselli Journal of Applied Probability 51 (3), 640-656, 2014 | 43 | 2014 |
| Pricing via recursive quantization in stochastic volatility models G Callegaro, L Fiorin, M Grasselli Quantitative Finance 17 (6), 855-872, 2017 | 35 | 2017 |
| Estimating the Wishart Affine Stochastic Correlation Modelusing the Empirical Characteristic Function J Da Fonseca, M Grasselli, F Ielpo | 35 | 2008 |
| Pricing currency derivatives under the benchmark approach J Baldeaux, M Grasselli, E Platen Journal of Banking & Finance 53, 34-48, 2015 | 34 | 2015 |
| An affine multicurrency model with stochastic volatility and stochastic interest rates A Gnoatto, M Grasselli SIAM Journal on Financial Mathematics 5 (1), 493-531, 2014 | 34 | 2014 |
| A consistent stochastic model of the term structure of interest rates for multiple tenors M Alfeus, M Grasselli, E Schlögl Journal of Economic Dynamics and Control 114, 103861, 2020 | 33 | 2020 |
