Matheus Da Rocha Grasselli - McMaster Experts

Affiliations

Professor, Mathematics and Statistics, Faculty of Science
Deputy Director, The Fields Institute,

Research Areas

Scholarly Activity in McMaster Experts

Co-author Network

co-investigator network

Co-investigator Network

Scholarly Activity
Research
Teaching
Background
Contact
View All

selected scholarly activity

books
- Finance at Fields 2012
chapters
- Double-entry bookkeeping. 119-120. 2023
- Non-ergodicity. 310-311. 2023
- Cryptocurrencies and the future of money. 23-56. 2022
- An Agent-Based Computational Model for Bank Formation and Interbank Networks. 401-431. 2013
conferences
- The uniqueness of the Chentsov metric. AIP Conference Proceedings. 165-170. 2001
journal articles
- EDITORIAL. International Journal of Theoretical & Applied Finance. 26:2301002. 2023
- EDITORIAL. International Journal of Theoretical & Applied Finance. 26:2301001. 2023
- Editorial: A Systemic Recovery. Journal of Risk and Financial Management. 15:578-578. 2022
- The Interplay between COVID-19 and the Economy in Canada. Journal of Risk and Financial Management. 15:476-476. 2022
- Monetary Policy Responses to Covid-19: A Comparison with the 2008 Crisis and Implications for the Future of Central Banking. Review of Political Economy. 34:420-445. 2022
- Lotka's wheel and the long arm of history: how does the distant past determine today's global rate of energy consumption?. Earth System Dynamics. 13:1021-1028. 2022
- Estimates of economic and environmental damages from tipping points cannot be reconciled with the scientific literature. Proceedings of the National Academy of Sciences of the United States of America. 119:e2117308119. 2022
- Household debt: The missing link between inequality and secular stagnation. Journal of Economic Behavior and Organization. 183:901-927. 2021
- Short Communication: Sensitivity Analysis of an Integrated Climate-Economic Model. SIAM Journal on Financial Mathematics. 12:SC44-SC57. 2021
- Past world economic production constrains current energy demands: Persistent scaling with implications for economic growth and climate change mitigation. PLoS ONE. 15:e0237672-e0237672. 2020
- On the normality of negative interest rates. Review of Keynesian Economics. 7:201-219. 2019
- THE BROAD CONSEQUENCES OF NARROW BANKING. International Journal of Theoretical & Applied Finance. 22:1950007-1950007. 2019
- A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 2018
- Testing a Goodwin model with general capital accumulation rate. Metroeconomica. 69:619-643. 2018
- Inventory growth cycles with debt-financed investment. Structural Change and Economic Dynamics. 44:1-13. 2018
- A stock-flow consistent macroeconomic model with heterogeneous agents: the master equation approach. Journal of Network Theory in Finance. 4:47-87. 2018
- A mean-field approximation to stock-flow consistent agent-based models with state-dependent transition rates. Journal of Coupled Systems and Multiscale Dynamics. 5:177-196. 2017
- A comment on ‘Testing Goodwin: growth cycles in ten OECD countries’. Cambridge Journal of Economics. 41:1761-1766. 2017
- Book review: Carl Chiarella, Peter Flaschel and Willi Semmler, Reconstructing Keynesian Macroeconomics (Volume 1: Partial Perspectives, 2012, 400 pp.; Volume 2: Integrated Approaches, 2013, 512 pp.; Volume 3: Macroeconomic Activity, Banking and Financial Markets, 2015, 390 pp.; Routledge, Abingdon, UK and New York, NY, USA). Review of Keynesian Economics. 5:481-488. 2017
- Erratum: "On the nonlocal Cahn-Hilliard-Brinkman and Cahn-Hilliard-Hele-Shaw systems" [Comm. Pure Appl. Anal. 15 (2016), 299--317]. Communications on Pure and Applied Analysis. 16:369-372. 2017
- Joining Forces in International Mathematics Outreach Efforts. Notices of the American Mathematical Society. 63:1042-1049. 2016
- Discontinuous Galerkin approximation of linear parabolic problems with dynamic boundary conditions 2015
- Inflation and speculation in a dynamic macroeconomic model 2014
- Destabilizing a stable crisis: Employment persistence and government intervention in macroeconomics. Structural Change and Economic Dynamics. 30:30-51. 2014
- Stock Loans in Incomplete Markets. Applied Mathematical Finance. 20:118-136. 2013
- PRIORITY OPTION: THE VALUE OF BEING A LEADER. International Journal of Theoretical & Applied Finance. 16:1350004-1350004. 2013
- BACK MATTER 2012
- FRONT MATTER. Finance at fields. i-xiii. 2012
- An analysis of the Keen model for credit expansion, asset price bubbles and financial fragility. Mathematics and Financial Economics. 6:191-210. 2012
- PREFACE – Special Issue on Financial Derivatives and Risk Management. International Journal of Theoretical & Applied Finance. 15:1202001-1202001. 2012
- Priority Option: The Value of Being a Leader in Complete and Incomplete Markets. SSRN Electronic Journal. 2012
- Finite-dimensional global attractor for a nonlocal phase-field system 2011
- INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES. Mathematical Finance. 21:423-446. 2011
- Calibration of Chaotic Models for Interest Rates 2011
- Getting Real with Real Options: A Utility–Based Approach for Finite–Time Investment in Incomplete Markets. Journal of Business Finance & Accounting. 38:740-764. 2011
- PREFACE — Special Issue on Computational Finance. International Journal of Theoretical & Applied Finance. 14:v-vi. 2011
- PREFACE. International Journal of Theoretical & Applied Finance. 14:v-vi. 2011
- The Fields Institute: thematic program on Quantitative Finance: foundations and applications – January to June, 2010. Quantitative Finance. 11:21-29. 2011
- Dual connections in nonparametric classical information geometry. Annals of the Institute of Statistical Mathematics. 62:873-896. 2010
- A policyholder's utility indifference valuation model for the guaranteed annuity option 2009
- Risk aversion and block exercise of executive stock options. Journal of Economic Dynamics and Control. 33:109-127. 2009
- Indifference Pricing and Hedging for Volatility Derivatives. Applied Mathematical Finance. 14:303-317. 2007
- Getting real with real options 2006
- Nonlinearity, correlation and the valuation of employee stock options 2005
- Wiener chaos and the Cox–Ingersoll–Ross model. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 461:459-479. 2005
- DUALITY, MONOTONICITY AND THE WIGNER–YANASE–DYSON METRICS. Infinite Dimensional Analysis Quantum Probability and Related Topics. 07:215-232. 2004
- Indifference pricing and hedging in stochastic volatility models 2004
- A Monte Carlo method for exponential hedging of contingent claims 2002
- Hydrodynamics in an external field. Reports on Mathematical Physics. 50:13-40. 2002
- ON THE UNIQUENESS OF THE CHENTSOV METRIC IN QUANTUM INFORMATION GEOMETRY. Infinite Dimensional Analysis Quantum Probability and Related Topics. 04:173-182. 2001
- Infinite dimensional quantum information geometry. AIP Conference Proceedings. 553:141-146. 2001
- The quantum information manifold for ε-bounded forms. Reports on Mathematical Physics. 46:325-335. 2000
- Comparing large-scale climate-economic models: parameters sensitivity, backtesting, and policy effectiveness. Electronic Research Archive.
- Inflation and Speculation in a Dynamic Macroeconomic Model. Journal of Risk and Financial Management. 8:285-310.
- Las estimaciones erróneas de los daños del cambio climático. Revista de Economía Institucional. 24:249-298.
- Netting and novation in REPO networks with rehypothecation: an agent-based computation model. International Journal of Theoretical & Applied Finance.
- Regret-Optimal Transfer Learning from Pretrained Kernel Regressors – with Applications to American Option Pricing. Transactions on Machine Learning Research.
- Regret-Optimal Transfer Learning from Pretrained Kernel Regressors – with Applications to American Option Pricing. Transactions on Machine Learning Research.
preprints
presentations