Claude Martini

Zeliade Systems

CEO

Paris

France

http://www.zeliade.com

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 19,397

SSRN RANKINGS

Top 19,397

in Total Papers Downloads

5,059

SSRN CITATIONS
Rank 22,277

SSRN RANKINGS

Top 22,277

in Total Papers Citations

43

CROSSREF CITATIONS

16

Scholarly Papers (11)

Actions:
Email selected abstracts
1.

The Extended SSVI Volatility Surface

Number of pages: 20 Posted: 22 May 2017
Sebas Hendriks and Claude Martini
Delft University of Technology and Zeliade Systems
Downloads 2,304 (12,651)
Citation 13

Abstract:

Loading...

volatility smile, volatility surface, no-arbitrage

2.

Heston 2010

Number of pages: 31 Posted: 28 Feb 2011 Last Revised: 07 Mar 2011
Antoine (Jack) Jacquier and Claude Martini
Imperial College London and Zeliade Systems
Downloads 640 (80,720)
Citation 1

Abstract:

Loading...

Heston, stochastic volatility, calibration, pricing, implied volatility

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 566 (94,270)
Citation 2

Abstract:

Loading...

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

4.

On VIX Futures in the Rough Bergomi Model

Number of pages: 21 Posted: 19 Jan 2017
Antoine (Jack) Jacquier, Claude Martini and Aitor Muguruza
Imperial College London, Zeliade Systems and Imperial College London
Downloads 456 (122,621)
Citation 9

Abstract:

Loading...

Implied volatility, fractional Brownian motion, rough Bergomi, VIX Futures, VIX smile

5.

No Arbitrage SVI

Number of pages: 38 Posted: 04 Jun 2020 Last Revised: 25 May 2021
Claude Martini and Arianna Mingone
Zeliade Systems and Ecole Polytechnique de Paris (CMAP)
Downloads 376 (153,034)
Citation 10

Abstract:

Loading...

Implied volatility, volatility smile, calibration, SVI, arbitrage-free parameterization

6.

Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016
Gaoyue Guo, Antoine (Jack) Jacquier, Claude Martini and Leo Neufcourt
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 359 (161,090)
Citation 9

Abstract:

Loading...

SVI volatility surface, calendar spread arbitrage, butterfly arbitrage, static arbitrage

7.

Explicit No Arbitrage Domain for Sub-SVIs via Reparametrization

Number of pages: 41 Posted: 08 Jun 2021
Arianna Mingone and Claude Martini
Ecole Polytechnique de Paris (CMAP) and Zeliade Systems
Downloads 112 (466,987)
Citation 3

Abstract:

Loading...

Implied volatility, volatility smile, calibration, SVI, sub-SVIs, arbitrage-free parameterization

8.

The α-Hypergeometric Stochastic Volatility Model

Number of pages: 24 Posted: 19 Sep 2014
José Da Fonseca and Claude Martini
Auckland University of Technology - Faculty of Business & Law and Zeliade Systems
Downloads 84 (565,416)
Citation 8

Abstract:

Loading...

Equity stochastic volatility models, Volatility derivatives, European option pricing.

9.

Options Are Also Options on Options: How to Smile With Black-Scholes

Number of pages: 31 Posted: 09 Aug 2023
Arianna Mingone and Claude Martini
Ecole Polytechnique de Paris (CMAP) and Zeliade Systems
Downloads 80 (581,943)

Abstract:

Loading...

Black-Scholes formula, Pricing function, Option pricing

10.

Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales

Number of pages: 28 Posted: 14 May 2021
Claude Martini and Iacopo Raffaelli
Zeliade Systems and Scuola Normale Superiore
Downloads 48 (748,543)

Abstract:

Loading...

Implied volatility, Absence of arbitrage, Bubble, SDE

11.

A Closed Form Model-Free Approximation for the Initial Margin of Option Portfolios

Number of pages: 35 Posted: 26 Jun 2023
Arianna Mingone and Claude Martini
Ecole Polytechnique de Paris (CMAP) and Zeliade Systems
Downloads 34 (851,168)

Abstract:

Loading...

Initial Margin, Options, CCPs, FHS, VaR, Market risk