Details about Claudio Tebaldi

Access statistics for papers by Claudio Tebaldi.

Last updated 2017-06-09. Update your information in the RePEc Author Service.

Short-id: pte303

Working Papers

2015

1. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2013)
2. The Price of the Smile and Variance Risk Premia
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)
3. The scale of predictability
   CIRANO Working Papers, CIRANO View citations (1)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) View citations (2)

2011

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

2006

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

2002

6. 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) View citations (3) (2005)

Journal Articles

2013

1. Long-Run Risk and the Persistence of Consumption Shocks
   The Review of Financial Studies, 2013, 26, (11), 2876-2915 View citations (60)

2009

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

2008

3. A multifactor volatility Heston model
   Quantitative Finance, 2008, 8, (6), 591-604 View citations (74)
4. SOLVABLE AFFINE TERM STRUCTURE MODELS
   Mathematical Finance, 2008, 18, (1), 135-153 View citations (39)

2007

5. Option pricing when correlations are stochastic: an analytical framework
   Review of Derivatives Research, 2007, 10, (2), 151-180 View citations (75)

2005

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

2001

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