Stefano De Marco

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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
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear Quantitative Finance	2024-07-23	Paper
Local volatility under rough volatility Mathematical Finance	2024-01-31	Paper
Weak approximations and VIX option price expansions in forward variance curve models Quantitative Finance	2023-09-25	Paper
On the harmonic mean representation of the implied volatility SIAM Journal on Financial Mathematics	2021-05-17	Paper
Study of new rare event simulation schemes and their application to extreme scenario generation Mathematics and Computers in Simulation	2021-03-01	Paper
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations Monte Carlo Methods and Applications	2020-07-08	Paper
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements ESAIM: Proceedings and Surveys	2019-07-11	Paper
On small-noise equations with degenerate limiting system arising from volatility models Springer Proceedings in Mathematics & Statistics	2018-12-11	Paper
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula Quantitative Finance	2018-11-14	Paper
Local Volatility, Conditioned Diffusions, and Varadhan's Formula SIAM Journal on Financial Mathematics	2018-08-10	Paper
Shapes of implied volatility with positive mass at zero SIAM Journal on Financial Mathematics	2018-03-12	Paper
Two examples of non strictly convex large deviations Electronic Communications in Probability	2016-05-23	Paper
Two examples of non strictly convex large deviations Electronic Communications in Probability	2016-05-23	Paper
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem SIAM Journal on Financial Mathematics	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 The Annals of Applied Probability	2011-10-12	Paper
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models	2010-06-16	Paper

Research outcomes over time

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