Claudio Tebaldi : Citation Profile

Università Commerciale Luigi Bocconi (50% share)
Università Commerciale Luigi Bocconi (50% share)

9

H index

8

i10 index

385

Citations

RESEARCH PRODUCTION:

16

Articles

16

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 16
   Journals where Claudio Tebaldi has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 8 (2.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pte303
   Updated: 2025-12-20    RAS profile: 2025-07-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Claudio Tebaldi.

Is cited by:

Gnoatto, Alessandro (18)

DA FONSECA, José (14)

Escobar Anel, Marcos (10)

Stentoft, Lars (9)

Verona, Fabio (8)

federico, salvatore (8)

Violante, Francesco (7)

Baruník, Jozef (7)

Faria, Gonçalo (7)

Gozzi, Fausto (6)

Asai, Manabu (5)

Cites to:

Campbell, John (12)

Duffie, Darrell (5)

Singleton, Kenneth (5)

Hansen, Lars (5)

gourieroux, christian (4)

DA FONSECA, José (4)

Aouani, Zaier (3)

Blanchard, Olivier (3)

Flannery, Mark (3)

merton, robert (3)

Shiller, Robert (3)

Main data

Where Claudio Tebaldi has published?

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3
Papers / arXiv.org2

Recent works citing Claudio Tebaldi (2025 and 2024)

YearTitle of citing document
2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2024The Laplace transform of the integrated Volterra Wishart process. (2024). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures. (2024). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2202.07610.

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2025The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2024Anticomonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity. (2024). Wakker, Peter ; Wang, Ruodu ; Principi, Giulio. In: Papers. RePEc:arx:papers:2307.08542.

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2024Relative entropy-regularized robust optimal order execution. (2024). Wang, Tai-Ho. In: Papers. RePEc:arx:papers:2311.06476.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2025Set-valued Star-Shaped Risk Measures. (2025). Tian, Dejian ; Jiang, Long ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2024Risk, utility and sensitivity to large losses. (2024). Khan, Nazem ; Herdegen, Martin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2405.12154.

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2024Absolute and Relative Ambiguity Attitudes. (2024). Stanca, Lorenzo ; Principi, Giulio ; Fabbri, Francesco. In: Papers. RePEc:arx:papers:2406.01343.

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2024Counter-monotonic risk allocations and distortion risk measures. (2024). Wang, Ruodu ; Ren, Qinghua ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2407.16099.

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2024Heat modulated affine stochastic volatility models for forward curve dynamics. (2024). Karbach, Sven. In: Papers. RePEc:arx:papers:2409.13070.

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2025Optimal Execution with Reinforcement Learning. (2024). Vittori, Edoardo ; Hafsi, Yadh. In: Papers. RePEc:arx:papers:2411.06389.

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2024Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates. (2024). Meissner, Gunter A ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2411.16617.

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2025Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

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2025Higher-Order Ambiguity Attitudes. (2025). Laeven, Roger ; Aygun, Mucahit ; Stadje, Mitja. In: Papers. RePEc:arx:papers:2501.13143.

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2025Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security. (2025). Zongxia, Liang ; Runhuan, Feng ; Yilun, Song. In: Papers. RePEc:arx:papers:2502.13742.

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2025Reinforcement Learning for Trade Execution with Market Impact. (2025). Weiss, Moritz ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:2507.06345.

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2025Disappointment Aversion and Expectiles. (2025). Maccheroni, Fabio ; Bellini, Fabio ; Mao, Tiantian ; Wang, Ruodu ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2508.05541.

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2025The Interplay between Utility and Risk in Portfolio Selection. (2025). Baggiani, Leonardo ; Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2509.10351.

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2025When risk defies order: On the limits of fractional stochastic dominance. (2025). Liebrich, Felix-Benedikt ; Laudag, Christian. In: Papers. RePEc:arx:papers:2509.24747.

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2025The Innovation Long-Run Risk Component. (2025). Franceschini, Fabio. In: Working Papers. RePEc:bol:bodewp:wp1215.

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2025The Equilibrium Effects of Mortality Risk. (2025). Rizzini, Giorgio ; Regis, Luca ; Modena, Andrea. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_709.

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2024Persistence-based capital allocation along the FOMC cycle. (2024). Severino, Federico ; Reggiani, Pietro ; Ortu, Fulvio. In: CIRANO Working Papers. RePEc:cir:cirwor:2024s-02.

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2025Conditional spectral methods. (2025). Bandi, Federico M ; Su, Yinan. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002082.

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2024Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:686-700.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2025Investigation of emerging market stress under various frequency bands: Evidence from FX market uncertainty and liquidity. (2025). Dömötör, Barbara ; Vg, Attila Andrs ; Dmtr, Barbara ; Gunay, Samet. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000111.

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2024Predicting the volatility of major energy commodity prices: The dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Vcha, Luk ; Barunk, Jozef. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400690x.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024Adjusted higher-order expected shortfall. (2024). Zou, Zhenfeng ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:1-12.

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2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131.

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2024Law-invariant return and star-shaped risk measures. (2024). Laeven, Roger ; Zullino, Marco ; Gianin, Emanuela Rosazza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:140-153.

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2024Star-shaped acceptability indexes. (2024). Righi, Marcelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181.

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2025A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50.

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2024Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28.

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2024Option pricing revisited: The role of price volatility and dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000715.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Santos, Samuel S ; Moresco, Marlon R ; Righi, Marcelo B ; Horta, Eduardo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2025Local Estimation for Option Pricing: Improving Forecasts with Market State Information. (2025). Oh, Dong Hwan ; Kim, Hyung Joo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-76.

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2025Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing. (2025). Arian, Hamid ; Faraz, Behzad-Hussein Azadie ; Escobar-Anel, Marcos. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:2:p:91-:d:1666424.

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2024Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model. (2024). Song, Ruili ; Lu, Yichen. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:20:p:3233-:d:1499426.

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2025Local Stochastic Correlation Models for Derivative Pricing. (2025). Escobar Anel, Marcos ; Escobar-Anel, Marcos. In: Stats. RePEc:gam:jstats:v:8:y:2025:i:3:p:65-:d:1704566.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-04595355.

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2025Prediction and Allocation of Stocks, Bonds, and REITs in the US Market. (2025). Silva, Nuno ; Monteiro, Ana Sofia ; Sebastiao, Helder. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10589-2.

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2025What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?. (2025). Juneja, Januj. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10644-y.

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2024A general framework for a joint calibration of VIX and VXX options. (2024). Pallavicini, Andrea ; Mazzoran, Andrea ; Grasselli, Martino. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05205-9.

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2025Optimal portfolio choice in jump-diffusion markets with longevity risk. (2025). Feleppa, Davide ; Oliva, Immacolata. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00539-0.

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2024A framework for measures of risk under uncertainty. (2024). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-024-00528-2.

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2025Lower semicontinuity of monotone functionals in the mixed topology on C b $C_{b}$. (2025). Nendel, Max. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:1:d:10.1007_s00780-024-00552-2.

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2025Set-valued star-shaped risk measures. (2025). Jiang, Long ; Nie, Bingchu ; Tian, Dejian. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00384-4.

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2024Systemic risk and idiosyncratic networks among global systemically important banks. (2024). Yang, Lu ; Cui, Xue. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:58-75.

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2025Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Ye, Yifan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:612-636.

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2024Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators. (2024). Verona, Fabio ; Faria, Gonçalo. In: Bank of Finland Research Discussion Papers. RePEc:zbw:bofrdp:307140.

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Works by Claudio Tebaldi:

YearTitleTypeCited
2022Star-shaped Risk Measures In: Papers.
[Full Text][Citation analysis]		paper30
2022Star-Shaped Risk Measures.(2022) In: Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
2022Optimal order execution under price impact: A hybrid model In: Papers.
[Full Text][Citation analysis]		paper3
2024Optimal order execution under price impact: a hybrid model.(2024) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2001Hedging a Portfolio of Derivative Securities: A Simulation Approach In: Economic Notes.
[Full Text][Citation analysis]		article0
2008SOLVABLE AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
[Full Text][Citation analysis]		article38
2004Illiquid Assets and Optimal Portfolio Choice In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper29
2006Illiquid Assets and Optimal Portfolio Choice.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2015The Price of the Smile and Variance Risk Premia In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper18
2021The Price of the Smile and Variance Risk Premia.(2021) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2018Levered Returns and Capital Structure Imbalances In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2019Consumer Protection and the Design of the Default Option of a Pan-European Pension Product In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2015The scale of predictability In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper30
2019The scale of predictability.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
2018The scale of predictability.(2018) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2014The scale of predictability.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2015A Multivariate Model of Strategic Asset Allocation with Longevity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2017A Multivariate Model of Strategic Asset Allocation with Longevity Risk.(2017) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2017A Multivariate Model of Strategic Asset Allocation with Longevity Risk.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2013A Multivariate Model of Strategic Asset Allocation with Longevity Risk.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2024Saving for retirement in Europe: the long-term risk-return tradeoff In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article0
2005Hedging using simulation: a least squares approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2002Hedging using simulation: a least squares approach.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2011The Relative Leverage Premium In: Working Papers.
[Full Text][Citation analysis]		paper3
2017Multivariate Wold Decompositions In: Working Papers.
[Full Text][Citation analysis]		paper0
2024Financial Contagion in Network Economies and Asset Prices In: Management Science.
[Full Text][Citation analysis]		article0
2007Option pricing when correlations are stochastic: an analytical framework In: Review of Derivatives Research.
[Full Text][Citation analysis]		article78
2013Long-Run Risk and the Persistence of Consumption Shocks In: The Review of Financial Studies.
[Full Text][Citation analysis]		article59
2023Multivariate Wold decompositions: a Hilbert A-module approach In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article0
2008A multifactor volatility Heston model In: Quantitative Finance.
[Full Text][Citation analysis]		article77
2020A persistence‐based Wold‐type decomposition for stationary time series In: Quantitative Economics.
[Full Text][Citation analysis]		article9
2009A COHERENT STATE TRANSFORM APPROACH TO DERIVATIVE PRICING In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0
2025Lectures on the Theory and Application of Modern Finance with R and ChatGPT In: World Scientific Books.
[Full Text][Citation analysis]		book0
2019Optimal Asset Allocation with Heterogeneous Persistent Shocks and Myopic and Intertemporal Hedging Demand In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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