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Details about Claudio Tebaldi

E-mail:
Homepage:http://faculty.unibocconi.it/claudiotebaldi/
Workplace:BAFFI CAREFIN Centre for Applied Research on International Markets, Money Banking 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 2017-06-09. Update your information in the RePEc Author Service.

Short-id: pte303


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Working Papers

2015

  1. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2013) Downloads
  2. The Price of the Smile and Variance Risk Premia
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (9)
  3. The scale of predictability
    CIRANO Working Papers, CIRANO Downloads
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) Downloads View citations (2)

2011

  1. The Relative Leverage Premium
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)

2006

  1. Illiquid Assets and Optimal Portfolio Choice
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    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 in Journal of Economic Dynamics and Control (2005)

Journal Articles

2013

  1. Long-Run Risk and the Persistence of Consumption Shocks
    Review of Financial Studies, 2013, 26, (11), 2876-2915 Downloads View citations (35)

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 (65)
  2. SOLVABLE AFFINE TERM STRUCTURE MODELS
    Mathematical Finance, 2008, 18, (1), 135-153 Downloads View citations (33)

2007

  1. Option pricing when correlations are stochastic: an analytical framework
    Review of Derivatives Research, 2007, 10, (2), 151-180 Downloads View citations (61)

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 (2002)

2001

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