The following pages link to Stefano De Marco (Q287837):
Displayed 15 items.
- Two examples of non strictly convex large deviations (Q287838) (← links)
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions (Q640057) (← links)
- Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (Q777908) (← links)
- Study of new rare event simulation schemes and their application to extreme scenario generation (Q1996937) (← links)
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842) (← links)
- Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula (Q4554443) (← links)
- On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (Q4560342) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- Shapes of Implied Volatility with Positive Mass at Zero (Q4607048) (← links)
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
- On the Harmonic Mean Representation of the Implied Volatility (Q4988554) (← links)
- Weak approximations and VIX option price expansions in forward variance curve models (Q6053109) (← links)
- Local volatility under rough volatility (Q6187367) (← links)
- Bounds on Stock Price probability distributions in Local-Stochastic Volatility models (Q6219300) (← links)
- Varadhan's formula, conditioned diffusions, and local volatilities (Q6246267) (← links)