Jacopo Corbetta

MaRDI QIDQ681998zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Sampling of probability measures in the convex order by Wasserstein projection Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2021-02-15	Paper
Sampling of probability measures in the convex order by Wasserstein projection Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2021-02-15	Paper
Robust calibration and arbitrage-free interpolation of SSVI slices Decisions in Economics and Finance	2020-01-31	Paper
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds International Journal of Theoretical and Applied Finance	2019-05-21	Paper
Evolution of the Wasserstein distance between the marginals of two Markov processes Bernoulli	2018-03-27	Paper
Evolution of the Wasserstein distance between the marginals of two Markov processes Bernoulli	2018-03-27	Paper
The asymptotic smile of a multiscaling stochastic volatility model Stochastic Processes and their Applications	2018-02-13	Paper
General smile asymptotics with bounded maturity SIAM Journal on Financial Mathematics	2016-11-11	Paper

Research outcomes over time

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