Author Page for Claudio Tebaldi

Option Pricing When Correlations are Stochastic: An Analytical Framework

Number of pages: 25 Posted: 24 Apr 2007

José Da Fonseca, Martino Grasselli and Claudio Tebaldi

Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 1,415 (18,801)

Citation 36

Abstract:

2.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018

Federico M. Bandi, Benoit Perron, Andrea Tamoni and Claudio Tebaldi

Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 833 (40,382)

Citation 22

Abstract:

3.

The Price of the Smile and Variance Risk Premia

Swiss Finance Institute Research Paper No. 15-36

Number of pages: 70 Posted: 18 Sep 2015 Last Revised: 25 Sep 2015

Peter H. Gruber, Claudio Tebaldi and Fabio Trojani

University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of Geneva

Downloads 505 (77,132)

Citation 15

Abstract:

4.

Levered Returns and Capital Structure Imbalances

Number of pages: 78 Posted: 24 Jan 2017 Last Revised: 10 Jan 2022

Filippo Ippolito, Filippo Ippolito, Roberto Steri, Claudio Tebaldi and Alessandro Villa

Universitat Pompeu Fabra - Faculty of Economic and Business SciencesBarcelona Graduate School of Economics, University of Luxembourg, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Federal Reserve Bank of Chicago

Downloads 503 (77,500)

Citation 2

Abstract:

5.

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Number of pages: 63 Posted: 18 Mar 2011

Peter H. Gruber, Roberto Renò, Claudio Tebaldi and Fabio Trojani

University of Lugano - Institute of Finance, University of Verona - Department of Economics, Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of Geneva

Downloads 423 (95,204)

Citation 5

Abstract:

6.

A Persistence-Based Wold-Type Decomposition for Stationary Time Series

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019

Fulvio Ortu, Federico Severino, Andrea Tamoni and Claudio Tebaldi

Bocconi University - Department of Finance, Université Laval, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 337 (123,111)

Citation 4

Abstract:

7.

Long Run Risk and the Persistence of Consumption Shocks

Number of pages: 62 Posted: 22 Nov 2010 Last Revised: 01 Jun 2013

Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi

Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 335 (123,864)

Citation 18

Abstract:

8.

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Downloads 291 (143,603)

Citation 6

3

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Number of pages: 48 Posted: 24 May 2014

Emilio Bisetti, Giacomo Nocera, Carlo A. Favero and Claudio Tebaldi

Hong Kong University of Science and Technology (HKUST), Audencia Business School, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 218 (190,350)

Citation 1

Abstract:

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Netspar Discussion Paper No. 05/2015-012

Number of pages: 54 Posted: 30 Jul 2015

Emilio Bisetti, Carlo A. Favero, Giacomo Nocera and Claudio Tebaldi

Hong Kong University of Science and Technology (HKUST), Bocconi University - Department of Finance, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 73 (432,712)

Abstract:

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

CEPR Discussion Paper No. DP10595

Number of pages: 55 Posted: 19 May 2015

Emilio Bisetti, Carlo A. Favero, Giacomo Nocera and Claudio Tebaldi

Hong Kong University of Science and Technology (HKUST), Bocconi University - Department of Finance, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 0

Citation 2

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Abstract:

9.

Three Make a Smile – Dynamic Volatility, Skewness and Term Structure Components in Option Valutation

CAREFIN Research Paper No. 02/2010

Number of pages: 44 Posted: 30 Mar 2011

Peter H. Gruber, Claudio Tebaldi and Fabio Trojani

University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of Geneva

Downloads 271 (154,419)

Abstract:

10.

Financial Contagion in Network Economies and Asset Prices

Number of pages: 62 Posted: 21 Nov 2017 Last Revised: 12 Jan 2022

Andrea Buraschi and Claudio Tebaldi

Imperial College Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 257 (162,843)

Citation 2

Abstract:

11.

Illiquid Assets and Optimal Portfolio Choice

NBER Working Paper No. w12633

Number of pages: 66 Posted: 20 Nov 2006 Last Revised: 08 Jan 2022

Claudio Tebaldi, Eduardo S. Schwartz and Eduardo S. Schwartz

Bocconi University - CAREFIN - Centre for Applied Research in Finance and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area

Downloads 167 (241,482)

Citation 1

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12.

Consumer Protection and the Design of the Default Option of a Pan-European Pension Product

Swiss Finance Institute Research Paper No. 19-19

Number of pages: 76 Posted: 17 Mar 2018 Last Revised: 11 Apr 2019

Andrea Berardi, Claudio Tebaldi and Fabio Trojani

Ca Foscari University of Venice - Dipartimento di Economia, Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of Geneva

Downloads 150 (263,958)

Citation 4

Abstract:

13.

Long Run and the Temporal Aggregation of Risks

Number of pages: 63 Posted: 18 Mar 2010 Last Revised: 23 Nov 2010

Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi

Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 129 (296,667)

Citation 1

Abstract:

14.

Impact of FOMC Cycle on Market Uncertainty: Evidence From Interest Rate Derivatives

Number of pages: 40 Posted: 15 Oct 2020

Indradeap Chatterjee, Marina Di Giacinto and Claudio Tebaldi

affiliation not provided to SSRN, University of Cassino and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 105 (343,203)

Citation 1

Abstract:

15.

Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model

Number of pages: 16 Posted: 14 Apr 2005

Martino Grasselli and Claudio Tebaldi

University of Padova - Department of Mathematics and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 22 (669,840)

Abstract:

16.

Saving for Retirement in Europe: The Long-Term Risk-Return Tradeoff

Number of pages: 38 Posted: 27 Apr 2022

Andrea Berardi and Claudio Tebaldi

Ca Foscari University of Venice - Dipartimento di Economia and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 20 (684,634)

Abstract:

17.

Solvable Affine Term Structure Models

Mathematical Finance, Vol. 18, Issue 1, pp. 135-153, January 2008

Number of pages: 19 Posted: 19 Dec 2007

Martino Grasselli and Claudio Tebaldi

University of Padova - Department of Mathematics and Bocconi University - CAREFIN - Centre for Applied Research in Finance

Downloads 7 (794,377)

Citation 1

Abstract:

18.

A 'Coherent State Transform' Approach to Derivative Pricing

International Journal of Theoretical and Applied Finance

Posted: 25 Apr 2010 Last Revised: 03 May 2010

Claudio Tebaldi and Ludovico Perissinotto

Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of Verona, Department of Economics and Veneto Banca Holding

Claudio Tebaldi

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Bocconi University - Department of Finance

Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

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Scholarly Papers (18)

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A Multivariate Model of Strategic Asset Allocation with Longevity Risk

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Other Papers (1)

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