Martino Grasselli

990 total citations
52 papers, 607 citations indexed

About

Martino Grasselli is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, Martino Grasselli has authored 52 papers receiving a total of 607 indexed citations (citations by other indexed papers that have themselves been cited), including 45 papers in Finance, 12 papers in Economics and Econometrics and 8 papers in Demography. Recurrent topics in Martino Grasselli's work include Stochastic processes and financial applications (44 papers), Financial Risk and Volatility Modeling (33 papers) and Complex Systems and Time Series Analysis (10 papers). Martino Grasselli is often cited by papers focused on Stochastic processes and financial applications (44 papers), Financial Risk and Volatility Modeling (33 papers) and Complex Systems and Time Series Analysis (10 papers). Martino Grasselli collaborates with scholars based in Italy, France and New Zealand. Martino Grasselli's co-authors include José Da Fonseca, Claudio Tebaldi, Alessandro Gnoatto, Florian Ielpo, Eckhard Platen, Gilles Pagès, Gianluca Fusai, Carl Chiarella, Jan Baldeaux and Matthieu Garcin and has published in prestigious journals such as Journal of Banking & Finance, Applied Mathematics and Computation and Annals of Operations Research.

In The Last Decade

Martino Grasselli

49 papers receiving 590 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Martino Grasselli Italy	14	570	170	139	50	36	52	607
Martino Grasselli Italy	8	501 0.9×	243 1.4×	161 1.2×	83 1.7×	18 0.5×	11	560
Michèle Vanmaele Belgium	14	347 0.6×	112 0.7×	121 0.9×	102 2.0×	20 0.6×	55	561
Klaus Sandmann Germany	9	571 1.0×	164 1.0×	265 1.9×	169 3.4×	33 0.9×	28	681
Razvan Sufana Canada	6	359 0.6×	62 0.4×	154 1.1×	30 0.6×	37 1.0×	7	396
Martin Larsson United States	9	362 0.6×	52 0.3×	171 1.2×	45 0.9×	56 1.6×	39	437
José Da Fonseca New Zealand	16	1.0k 1.8×	242 1.4×	361 2.6×	90 1.8×	38 1.1×	49	1.2k
Idris Kharroubi France	13	283 0.5×	82 0.5×	85 0.6×	89 1.8×	42 1.2×	28	353
Huyên Pham France	14	622 1.1×	89 0.5×	323 2.3×	186 3.7×	21 0.6×	23	713
Griselda Deelstra Belgium	14	667 1.2×	346 2.0×	277 2.0×	185 3.7×	18 0.5×	74	798
Monique Pontier France	11	392 0.7×	46 0.3×	213 1.5×	62 1.2×	11 0.3×	39	462

Countries citing papers authored by Martino Grasselli

Since Specialization

Citations

This map shows the geographic impact of Martino Grasselli's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Martino Grasselli with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Martino Grasselli more than expected).

Fields of papers citing papers by Martino Grasselli

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Martino Grasselli. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Martino Grasselli. The network helps show where Martino Grasselli may publish in the future.

Co-authorship network of co-authors of Martino Grasselli

This figure shows the co-authorship network connecting the top 25 collaborators of Martino Grasselli. A scholar is included among the top collaborators of Martino Grasselli based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Martino Grasselli. Martino Grasselli is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

Sort: Min cites: Since: Top N: Style:

20 of 20 papers shown

Grasselli, Martino, et al.. (2023). A general framework for a joint calibration of VIX and VXX options. Annals of Operations Research. 336(1-2). 3–26. 1 indexed citations

Grasselli, Martino, et al.. (2018). Rough but not so Tough: Fast Hybrid Schemes for Fractional Riccati Equations. 1 indexed citations

Grasselli, Martino, et al.. (2017). Quantization Meets Fourier: A New Technology for Pricing Options. SSRN Electronic Journal.

Grasselli, Martino, et al.. (2016). Pricing via recursive quantization in stochastic volatility models. Quantitative Finance. 17(6). 855–872. 11 indexed citations

Grasselli, Martino, et al.. (2016). A flexible spot multiple-curve model. Quantitative Finance. 16(10). 1465–1477. 13 indexed citations

Grasselli, Martino, et al.. (2015). Pricing via Quantization in Stochastic Volatility Models. SSRN Electronic Journal. 1 indexed citations

Gnoatto, Alessandro & Martino Grasselli. (2014). An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates. SIAM Journal on Financial Mathematics. 5(1). 493–531. 16 indexed citations

Grasselli, Martino. (2014). The 4/2 Stochastic Volatility Model. SSRN Electronic Journal. 5 indexed citations

Gnoatto, Alessandro & Martino Grasselli. (2014). The Explicit Laplace Transform for the Wishart Process. Journal of Applied Probability. 51(3). 640–656. 1 indexed citations

10.

Grasselli, Martino, et al.. (2014). Stochastic Skew and Target Volatility Options. SSRN Electronic Journal. 1 indexed citations

11.

Baldeaux, Jan, Martino Grasselli, & Eckhard Platen. (2014). Pricing currency derivatives under the benchmark approach. Journal of Banking & Finance. 53. 34–48. 14 indexed citations

12.

Fonseca, José Da, Martino Grasselli, & Florian Ielpo. (2013). Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function. Studies in Nonlinear Dynamics and Econometrics. 18(3). 253–289. 22 indexed citations

13.

Fonseca, José Da & Martino Grasselli. (2013). A flexible matrix Libor model with smiles. Research Padua Archive (University of Padua). 13 indexed citations

14.

Chiarella, Carl, José Da Fonseca, & Martino Grasselli. (2013). Pricing Range Notes within Wishart Affine Models. SSRN Electronic Journal. 5 indexed citations

15.

Grasselli, Martino, et al.. (2013). Smiles all around: FX joint calibration in a multi-Heston model. Padua Research Archive (University of Padova). 42 indexed citations

16.

Gnoatto, Alessandro & Martino Grasselli. (2011). The Explicit Laplace Transform for the Wishart Process. SSRN Electronic Journal. 7 indexed citations

17.

Grasselli, Martino & T. R. Hurd. (2010). Math 774 - Credit Risk Modeling.

18.

Gabay, Daniel & Martino Grasselli. (2010). Fair Demographic Risk Sharing in Defined Contribution Pension Systems. SSRN Electronic Journal. 1 indexed citations

19.

Fonseca, José Da, Florian Ielpo, & Martino Grasselli. (2009). Hedging (Co)Variance Risk with Variance Swaps. SSRN Electronic Journal. 4 indexed citations

20.

Fonseca, José Da, Martino Grasselli, & Claudio Tebaldi. (2007). Option pricing when correlations are stochastic: an analytical framework. Review of Derivatives Research. 10(2). 151–180. 132 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

Explore authors with similar magnitude of impact