Stefano De Marco

Publication Activity (10 Years)

Years Active: 2011-2021
Publications (10 Years): 6

Top Topics

Shape Classification

Monte Carlo Methods

Top Venues

SIAM J. Financial Math.

Math. Comput. Simul.

Monte Carlo Methods Appl.

Publications

Stefano De Marco
On the Harmonic Mean Representation of the Implied Volatility. SIAM J. Financial Math. 12 (2) (2021)
Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Monte Carlo Methods Appl. 26 (2) (2020)
Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu
Study of new rare event simulation schemes and their application to extreme scenario generation. Math. Comput. Simul. 143 (2018)
Stefano De Marco, Peter K. Friz
Local Volatility, Conditioned Diffusions, and Varadhan's Formula. SIAM J. Financial Math. 9 (2) (2018)
Stefano De Marco, Caroline Hillairet, Antoine Jacquier
Shapes of Implied Volatility with Positive Mass at Zero. SIAM J. Financial Math. 8 (1) (2017)
Stefano De Marco, Pierre Henry-Labordère
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem. SIAM J. Financial Math. 6 (1) (2015)
Vlad Bally, Stefano De Marco
Some estimates in extended stochastic volatility models of Heston type. Risk Decis. Anal. 2 (4) (2011)