Claude Martini

Zeliade Systems

CEO

Paris

France

http://www.zeliade.com

SCHOLARLY PAPERS

9

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2,603

SSRN CITATIONS
Rank 25,123

SSRN RANKINGS

Top 25,123

in Total Papers Citations

24

CROSSREF CITATIONS

14

Scholarly Papers (9)

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 867 (35,318)
Citation 10

Abstract:

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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 505 (71,661)
Citation 1

Abstract:

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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 480 (76,253)
Citation 2

Abstract:

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

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 297 (131,388)
Citation 9

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 166 (227,811)
Citation 9

Abstract:

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

6.

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 156 (240,031)
Citation 2

Abstract:

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

7.

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 64 (432,620)
Citation 8

Abstract:

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

8.

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 42 (520,481)

Abstract:

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

9.

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 26 (607,938)

Abstract:

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Implied volatility, Absence of arbitrage, Bubble, SDE