Stefano De Marco

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Person:287837

Available identifiers

zbMath Open de-marco.stefanoDBLP124/5090WikidataQ108069192 ScholiaQ108069192MaRDI QIDQ287837

List of research outcomes





PublicationDate of PublicationType
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear2024-07-23Paper
Local volatility under rough volatility2024-01-31Paper
Weak approximations and VIX option price expansions in forward variance curve models2023-09-25Paper
On the Harmonic Mean Representation of the Implied Volatility2021-05-17Paper
Study of new rare event simulation schemes and their application to extreme scenario generation2021-03-01Paper
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations2020-07-08Paper
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements2019-07-11Paper
On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models2018-12-11Paper
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula2018-11-14Paper
Local Volatility, Conditioned Diffusions, and Varadhan's Formula2018-08-10Paper
Shapes of Implied Volatility with Positive Mass at Zero2018-03-12Paper
Two examples of non strictly convex large deviations2016-05-23Paper
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem2015-12-09Paper
Varadhan's formula, conditioned diffusions, and local volatilities2013-11-06Paper
Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions2011-10-12Paper
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models2010-06-16Paper

Research outcomes over time

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