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Claude Martini - MaRDI portal

Claude Martini

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Person:171243

Available identifiers

zbMath Open martini.claudeMaRDI QIDQ171243

List of research outcomes





PublicationDate of PublicationType
No Arbitrage SVI2022-03-18Paper
On VIX futures in the rough Bergomi model2021-09-03Paper
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles2021-05-17Paper
Robust calibration and arbitrage-free interpolation of SSVI slices2020-01-31Paper
On the support of extremal martingale measures with given marginals: the countable case2019-12-09Paper
On VIX futures in the rough Bergomi model2018-11-14Paper
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula2018-11-14Paper
Change of numeraire in the two-marginals martingale transport problem2017-04-13Paper
Generalized Arbitrage-Free SVI Volatility Surfaces2016-09-28Paper
The \(\alpha\)-hypergeometric stochastic volatility model2016-04-04Paper
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty2007-08-08Paper
https://portal.mardi4nfdi.de/entity/Q31549792005-01-14Paper
Approximation of American put prices by European prices via an embedding method.2003-05-06Paper
American prices embedded in European prices2002-04-08Paper
Propagation of convexity by Markovian and martingalian semigroups2001-04-02Paper
Pricing and Hedging Discount Bond Options in the Presence of Model Risk *2001-03-28Paper
On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand2000-11-06Paper
Harmonic polynomials on the white noise space1999-10-25Paper
Spherical harmonics and irreducible representations of \(O(\infty)\)1999-06-29Paper
https://portal.mardi4nfdi.de/entity/Q48547351996-03-31Paper

Research outcomes over time

This page was built for person: Claude Martini