Jacopo Corbetta
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Person:681998
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 |
| 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 |
| 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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