Details about Claudio Tebaldi
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
- Supply Chain Finance and Firm Capital Structure
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2022
- Optimal order execution under price impact: A hybrid model
Papers, arXiv.org View citations (2)
See also Journal Article Optimal order execution under price impact: a hybrid model, Annals of Operations Research, Springer (2024) (2024)
- Star-shaped Risk Measures
Papers, arXiv.org View citations (26)
See also Journal Article Star-Shaped Risk Measures, Operations Research, INFORMS (2022) View citations (4) (2022)
2019
- Consumer Protection and the Design of the Default Option of a Pan-European Pension Product
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2018
- Levered Returns and Capital Structure Imbalances
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
- The scale of predictability
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) View citations (2) CIRANO Working Papers, CIRANO (2015) View citations (1)
See also Journal Article The scale of predictability, Journal of Econometrics, Elsevier (2019) View citations (23) (2019)
2017
- A Multivariate Model of Strategic Asset Allocation with Longevity Risk
Post-Print, HAL View citations (5)
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2013)  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) 
See also Journal Article A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) View citations (5) (2017)
- Multivariate Wold Decompositions
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
2015
- The Price of the Smile and Variance Risk Premia
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)
See also Journal Article The Price of the Smile and Variance Risk Premia, Management Science, INFORMS (2021) View citations (3) (2021)
2011
- The Relative Leverage Premium
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
2006
- 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
- 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
2024
- Financial Contagion in Network Economies and Asset Prices
Management Science, 2024, 70, (1), 484-506
- Optimal order execution under price impact: a hybrid model
Annals of Operations Research, 2024, 336, (1), 605-636 
See also Working Paper Optimal order execution under price impact: A hybrid model, Papers (2022) View citations (2) (2022)
- Saving for retirement in Europe: the long-term risk-return tradeoff
Journal of Pension Economics and Finance, 2024, 23, (2), 272-293
2023
- Multivariate Wold decompositions: a Hilbert A-module approach
Decisions in Economics and Finance, 2023, 46, (1), 45-96
2022
- Star-Shaped Risk Measures
Operations Research, 2022, 70, (5), 2637-2654 View citations (4)
See also Working Paper Star-shaped Risk Measures, Papers (2022) View citations (26) (2022)
2021
- The Price of the Smile and Variance Risk Premia
Management Science, 2021, 67, (7), 4056-4074 View citations (3)
See also Working Paper The Price of the Smile and Variance Risk Premia, Swiss Finance Institute Research Paper Series (2015) View citations (12) (2015)
2020
- A persistence‐based Wold‐type decomposition for stationary time series
Quantitative Economics, 2020, 11, (1), 203-230 View citations (10)
2019
- The scale of predictability
Journal of Econometrics, 2019, 208, (1), 120-140 View citations (23)
See also Working Paper The scale of predictability, LSE Research Online Documents on Economics (2018) View citations (5) (2018)
2017
- A Multivariate Model of Strategic Asset Allocation with Longevity Risk
Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2251-2275 View citations (5)
See also Working Paper A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Post-Print (2017) View citations (5) (2017)
2013
- Long-Run Risk and the Persistence of Consumption Shocks
The Review of Financial Studies, 2013, 26, (11), 2876-2915 View citations (62)
2009
- A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING
International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 125-151
2008
- A multifactor volatility Heston model
Quantitative Finance, 2008, 8, (6), 591-604 View citations (77)
- SOLVABLE AFFINE TERM STRUCTURE MODELS
Mathematical Finance, 2008, 18, (1), 135-153 View citations (41)
2007
- Option pricing when correlations are stochastic: an analytical framework
Review of Derivatives Research, 2007, 10, (2), 151-180 View citations (77)
2005
- 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
- Hedging a Portfolio of Derivative Securities: A Simulation Approach
Economic Notes, 2001, 30, (2), 257-279
Books
2025
- Lectures on the Theory and Application of Modern Finance with R and ChatGPT
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
Chapters
2019
- 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 View citations (1)
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