Claude Martini

Zeliade Systems

CEO

Paris

France

http://www.zeliade.com

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 27,452

in Total Papers Downloads

1,784

SSRN CITATIONS
Rank 31,942

SSRN RANKINGS

Top 31,942

in Total Papers Citations

8

CROSSREF CITATIONS

13

Scholarly Papers (6)

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 450 (66,544)
Citation 6

Abstract:

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volatility smile, volatility surface, no-arbitrage

2.

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 446 (67,251)
Citation 2

Abstract:

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

3.

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 426 (71,145)
Citation 1

Abstract:

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Heston, stochastic volatility, calibration, pricing, implied volatility

4.

Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 265 (120,959)
Citation 6

Abstract:

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

5.

On VIX Futures in the Rough Bergomi Model

Number of pages: 21 Posted: 19 Jan 2017
Imperial College London, Zeliade Systems and Imperial College London
Downloads 137 (220,806)
Citation 7

Abstract:

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

6.

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 60 (373,625)
Citation 6

Abstract:

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