Claude Martini

Available identifiers

zbMath Open martini.claudeMaRDI QIDQ171243

List of research outcomes

Publication	Date of Publication	Type
No Arbitrage SVI	2022-03-18	Paper
On VIX futures in the rough Bergomi model	2021-09-03	Paper
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles	2021-05-17	Paper
Robust calibration and arbitrage-free interpolation of SSVI slices	2020-01-31	Paper
On the support of extremal martingale measures with given marginals: the countable case	2019-12-09	Paper
On VIX futures in the rough Bergomi model	2018-11-14	Paper
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula	2018-11-14	Paper
Change of numeraire in the two-marginals martingale transport problem	2017-04-13	Paper
Generalized Arbitrage-Free SVI Volatility Surfaces	2016-09-28	Paper
The \(\alpha\)-hypergeometric stochastic volatility model	2016-04-04	Paper
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty	2007-08-08	Paper
https://portal.mardi4nfdi.de/entity/Q3154979	2005-01-14	Paper
Approximation of American put prices by European prices via an embedding method.	2003-05-06	Paper
American prices embedded in European prices	2002-04-08	Paper
Propagation of convexity by Markovian and martingalian semigroups	2001-04-02	Paper
Pricing and Hedging Discount Bond Options in the Presence of Model Risk *	2001-03-28	Paper
On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand	2000-11-06	Paper
Harmonic polynomials on the white noise space	1999-10-25	Paper
Spherical harmonics and irreducible representations of \(O(\infty)\)	1999-06-29	Paper
https://portal.mardi4nfdi.de/entity/Q4854735	1996-03-31	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Claude Martini