Claude Martini

Zeliade Systems

CEO

Paris

France

http://www.zeliade.com

SCHOLARLY PAPERS

11

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5,495

TOTAL CITATIONS
Rank 23,043

SSRN RANKINGS

Top 23,043

in Total Papers Citations

57

Scholarly Papers (11)

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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 2,580 (11,513)
Citation 14

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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 656 (85,496)
Citation 1

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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
École Polytechnique, Paris - Centre de Mathematiques Appliquees and Zeliade Systems
Downloads 586 (98,716)
Citation 2

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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 494 (121,921)
Citation 9

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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 408 (153,012)
Citation 11

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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
École Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 364 (173,708)
Citation 9

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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 123 (482,469)
Citation 3

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

8.

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 96 (577,833)

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Black-Scholes formula, Pricing function, Option pricing

9.

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 89 (605,744)
Citation 8

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Equity stochastic volatility models, Volatility derivatives, European 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 54 (791,018)

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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 45 (859,140)

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