Stefano De Marco

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Palaiseau Cedex, 91128

France

SCHOLARLY PAPERS

5

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2,033

SSRN CITATIONS
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Top 45,953

in Total Papers Citations

12

CROSSREF CITATIONS

3

Scholarly Papers (5)

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 919 (32,664)
Citation 1

Abstract:

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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 553 (64,101)
Citation 10

Abstract:

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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 480 (76,379)
Citation 2

Abstract:

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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 42 (521,222)
Citation 4

Abstract:

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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 39 (535,693)

Abstract:

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Heston model, Sharp large deviations, Freidlin-Wentzell