Stefano De Marco

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Palaiseau Cedex, 91128

France

  • Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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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 Qube Research & Technologies
Downloads 1,487 (25,323)
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 Qube Research & Technologies
Downloads 683 (75,130)
Citation 21

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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 568 (95,008)
Citation 2

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

4.

Smile Dynamics and Rough Volatility

Number of pages: 36 Posted: 12 Aug 2024
Florian Bourgey, Stefano De Marco and Jules Delemotte
Bloomberg LP, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Centre de Mathématiques Appliquées (CMAP), CNRS, Ecole Polytechnique
Downloads 400 (145,470)

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Volatility Modeling, SSR, Smile Dynamics

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 65 (657,062)

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Heston model, Sharp large deviations, Freidlin-Wentzell

6.

Shapes of Implied Volatility with Positive Mass at Zero

Number of pages: 23 Posted: 04 Oct 2013 Last Revised: 29 Aug 2016
Stefano De Marco, Caroline Hillairet and Antoine (Jack) Jacquier
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Imperial College London
Downloads 63 (667,263)
Citation 7

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