Jacopo Corbetta

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Person:681998

Available identifiers

zbMath Open corbetta.jacopoMaRDI QIDQ681998

List of research outcomes





PublicationDate of PublicationType
Sampling of probability measures in the convex order by Wasserstein projection2021-02-15Paper
Robust calibration and arbitrage-free interpolation of SSVI slices2020-01-31Paper
SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS2019-05-21Paper
Evolution of the Wasserstein distance between the marginals of two Markov processes2018-03-27Paper
The asymptotic smile of a multiscaling stochastic volatility model2018-02-13Paper
General smile asymptotics with bounded maturity2016-11-11Paper

Research outcomes over time

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