Stefano De Marco

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Palaiseau Cedex, 91128

France

SCHOLARLY PAPERS

6

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12

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Local Volatility from American Options

Number of pages: 21 Posted: 16 Nov 2016 Last Revised: 04 Sep 2017
Stefano De Marco and Pierre Henry-Labordere
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Natixis - Paris, France
Downloads 1,126 (28,457)
Citation 1

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Local volatility model, stochastic volatility model, American options, calibration, discrete dividends

2.

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

Number of pages: 21 Posted: 19 Nov 2013 Last Revised: 25 Apr 2015
Stefano De Marco and Pierre Henry-Labordere
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Natixis - Paris, France
Downloads 574 (70,687)
Citation 10

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3.

The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston

Number of pages: 25 Posted: 13 Jun 2010 Last Revised: 20 Nov 2010
Stefano De Marco and Claude Martini
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Zeliade Systems
Downloads 501 (83,563)
Citation 2

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Implied Volatility, Term Structure, Symmetric Smiles, SVI, Heston, Real-Valued Functions

4.

Shapes of Implied Volatility with Positive Mass at Zero

Number of pages: 23 Posted: 04 Oct 2013 Last Revised: 29 Aug 2016
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Imperial College London
Downloads 46 (567,598)
Citation 4

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Atomic distribution, heavy-tailed distribution, Implied Volatility, smile asymptotics, absorption at zero, CEV model

5.

Two Examples of Non Strictly Convex Large Deviations

Forthcoming in Electronic Communications in Probability
Number of pages: 11 Posted: 28 Nov 2014 Last Revised: 01 May 2016
Stefano De Marco, Antoine (Jack) Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Imperial College London and Imperial College London - Department of Mathematics
Downloads 43 (582,849)

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Heston model, Sharp large deviations, Freidlin-Wentzell

6.

Multilevel Monte Carlo Simulation for Vix Options in the Rough Bergomi Model

Journal of Computational Finance, Vol. 26, No. 2, 2022
Number of pages: 30 Posted: 17 Oct 2022
Florian Bourgey and Stefano De Marco
École Polytechnique and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 1 (937,073)
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Abstract:

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Chicago Board Options Exchange Volatility Index (VIX) options, multilevel Monte Carlo (MLMC), forward variance curve, rough volatility, volatility modeling, the rough Bergomi model