The Explicit Laplace Transform for the Wishart Process. - Alessandro Gnoatto; Martino Grasselli (J. Appl. Probab., 2014)

An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates. - Alessandro Gnoatto; Martino Grasselli (SIAM J. Financial Math., 2014)

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models. - José Da Fonseca; Alessandro Gnoatto; Martino Grasselli (Oper. Res. Lett., 2015)

Quantization meets Fourier: a new technology for pricing options. - Giorgia Callegaro; Lucio Fiorin; Martino Grasselli (Ann. Oper. Res., 2019)

CyberWolf: assessing vulnerabilities of ICT-intensive financial markets. - Andrea Calesso; Mauro Conti; Martino Grasselli (ARES, 2020)

Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough). - Giorgia Callegaro; Martino Grasselli; Gilles Pagès (Math. Oper. Res., 2021)

A fully quantization-based scheme for FBSDEs. - Giorgia Callegaro; Alessandro Gnoatto; Martino Grasselli (Appl. Math. Comput., 2023)

Recent advances in mathematical methods for finance. - Giorgia Callegaro; Claudio Fontana; Martino Grasselli; Wolfgang J. Runggaldier; Tiziano Vargiolu (Ann. Oper. Res., 2024)

A general framework for a joint calibration of VIX and VXX options. - Martino Grasselli; Andrea Mazzoran; Andrea Pallavicini (Ann. Oper. Res., 2024)