Stefano De Marco

Available identifiers

zbMath Open de-marco.stefanoWikidataQ108069192 ScholiaQ108069192MaRDI QIDQ287837

List of research outcomes

Publication	Date of Publication	Type
Local volatility under rough volatility	2024-01-31	Paper
Weak approximations and VIX option price expansions in forward variance curve models	2023-09-25	Paper
On the Harmonic Mean Representation of the Implied Volatility	2021-05-17	Paper
Study of new rare event simulation schemes and their application to extreme scenario generation	2021-03-01	Paper
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations	2020-07-08	Paper
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements	2019-07-11	Paper
On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models	2018-12-11	Paper
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula	2018-11-14	Paper
Local Volatility, Conditioned Diffusions, and Varadhan's Formula	2018-08-10	Paper
Shapes of Implied Volatility with Positive Mass at Zero	2018-03-12	Paper
Two examples of non strictly convex large deviations	2016-05-23	Paper
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem	2015-12-09	Paper
Varadhan's formula, conditioned diffusions, and local volatilities	2013-11-06	Paper
Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions	2011-10-12	Paper
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models	2010-06-16	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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