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Details about Claudio Tebaldi

Homepage:http://faculty.unibocconi.it/claudiotebaldi/
Workplace:BAFFI Centre on Economics, Finance and Regulation, Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)
Innocenzo Gasparini Institute for Economic Research (IGIER), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)

Access statistics for papers by Claudio Tebaldi.

Last updated 2025-07-07. Update your information in the RePEc Author Service.

Short-id: pte303


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Working Papers

2023

  1. Supply Chain Finance and Firm Capital Structure
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2022

  1. Optimal order execution under price impact: A hybrid model
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Optimal order execution under price impact: a hybrid model, Annals of Operations Research, Springer (2024) Downloads (2024)
  2. Star-shaped Risk Measures
    Papers, arXiv.org Downloads View citations (26)
    See also Journal Article Star-Shaped Risk Measures, Operations Research, INFORMS (2022) Downloads View citations (4) (2022)

2019

  1. Consumer Protection and the Design of the Default Option of a Pan-European Pension Product
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2018

  1. Levered Returns and Capital Structure Imbalances
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  2. The scale of predictability
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (5)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) Downloads View citations (2)
    CIRANO Working Papers, CIRANO (2015) Downloads View citations (1)

    See also Journal Article The scale of predictability, Journal of Econometrics, Elsevier (2019) Downloads View citations (23) (2019)

2017

  1. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
    Post-Print, HAL Downloads View citations (5)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2013) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads

    See also Journal Article A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) Downloads View citations (5) (2017)
  2. Multivariate Wold Decompositions
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)

2015

  1. The Price of the Smile and Variance Risk Premia
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (12)
    See also Journal Article The Price of the Smile and Variance Risk Premia, Management Science, INFORMS (2021) Downloads View citations (3) (2021)

2011

  1. The Relative Leverage Premium
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (3)

2006

  1. Illiquid Assets and Optimal Portfolio Choice
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2004) Downloads View citations (1)

2002

  1. Hedging using simulation: a least squares approach
    Computing in Economics and Finance 2002, Society for Computational Economics
    See also Journal Article Hedging using simulation: a least squares approach, Journal of Economic Dynamics and Control, Elsevier (2005) Downloads View citations (3) (2005)

Journal Articles

2024

  1. Financial Contagion in Network Economies and Asset Prices
    Management Science, 2024, 70, (1), 484-506 Downloads
  2. Optimal order execution under price impact: a hybrid model
    Annals of Operations Research, 2024, 336, (1), 605-636 Downloads
    See also Working Paper Optimal order execution under price impact: A hybrid model, Papers (2022) Downloads View citations (2) (2022)
  3. Saving for retirement in Europe: the long-term risk-return tradeoff
    Journal of Pension Economics and Finance, 2024, 23, (2), 272-293 Downloads

2023

  1. Multivariate Wold decompositions: a Hilbert A-module approach
    Decisions in Economics and Finance, 2023, 46, (1), 45-96 Downloads

2022

  1. Star-Shaped Risk Measures
    Operations Research, 2022, 70, (5), 2637-2654 Downloads View citations (4)
    See also Working Paper Star-shaped Risk Measures, Papers (2022) Downloads View citations (26) (2022)

2021

  1. The Price of the Smile and Variance Risk Premia
    Management Science, 2021, 67, (7), 4056-4074 Downloads View citations (3)
    See also Working Paper The Price of the Smile and Variance Risk Premia, Swiss Finance Institute Research Paper Series (2015) Downloads View citations (12) (2015)

2020

  1. A persistence‐based Wold‐type decomposition for stationary time series
    Quantitative Economics, 2020, 11, (1), 203-230 Downloads View citations (10)

2019

  1. The scale of predictability
    Journal of Econometrics, 2019, 208, (1), 120-140 Downloads View citations (23)
    See also Working Paper The scale of predictability, LSE Research Online Documents on Economics (2018) Downloads View citations (5) (2018)

2017

  1. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
    Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2251-2275 Downloads View citations (5)
    See also Working Paper A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Post-Print (2017) Downloads View citations (5) (2017)

2013

  1. Long-Run Risk and the Persistence of Consumption Shocks
    The Review of Financial Studies, 2013, 26, (11), 2876-2915 Downloads View citations (62)

2009

  1. A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 125-151 Downloads

2008

  1. A multifactor volatility Heston model
    Quantitative Finance, 2008, 8, (6), 591-604 Downloads View citations (77)
  2. SOLVABLE AFFINE TERM STRUCTURE MODELS
    Mathematical Finance, 2008, 18, (1), 135-153 Downloads View citations (41)

2007

  1. Option pricing when correlations are stochastic: an analytical framework
    Review of Derivatives Research, 2007, 10, (2), 151-180 Downloads View citations (77)

2005

  1. Hedging using simulation: a least squares approach
    Journal of Economic Dynamics and Control, 2005, 29, (8), 1287-1312 Downloads View citations (3)
    See also Working Paper Hedging using simulation: a least squares approach, Computing in Economics and Finance 2002 (2002) (2002)

2001

  1. Hedging a Portfolio of Derivative Securities: A Simulation Approach
    Economic Notes, 2001, 30, (2), 257-279 Downloads

Books

2025

  1. Lectures on the Theory and Application of Modern Finance with R and ChatGPT
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

Chapters

2019

  1. Optimal Asset Allocation with Heterogeneous Persistent Shocks and Myopic and Intertemporal Hedging Demand
    Chapter 4 in Behavioral Finance The Coming of Age, 2019, pp 57-108 Downloads View citations (1)
 
Page updated 2025-07-23