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of 110
pro vyhledávání: '"DE MARCO, STEFANO"'
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by
Externí odkaz:
http://arxiv.org/abs/2204.02376
We provide explicit approximation formulas for VIX futures and options in forward variance models, with particular emphasis on the family of so-called Bergomi models: the one-factor Bergomi model [Bergomi, Smile dynamics II, Risk, 2005], the rough Be
Externí odkaz:
http://arxiv.org/abs/2202.10413
Autor:
Bourgey, Florian, De Marco, Stefano
We consider the pricing of VIX options in the rough Bergomi model. In this setting, the VIX random variable is defined by the one-dimensional integral of the exponential of a Gaussian process with correlated increments, hence approximate samples of t
Externí odkaz:
http://arxiv.org/abs/2105.05356
Autor:
De Marco, Stefano
It is well know that, in the short maturity limit, the implied volatility approaches the integral harmonic mean of the local volatility with respect to log-strike, see [Berestycki et al., Asymptotics and calibration of local volatility models, Quanti
Externí odkaz:
http://arxiv.org/abs/2007.03585
Autor:
De Marco, Stefano1 (AUTHOR) s.demarco@usal.es, Robles, José Manuel2 (AUTHOR), Moya-Gómez, Borja3 (AUTHOR), Gomez, Daniel4 (AUTHOR)
Publikováno v:
Journal of Political Marketing. Dec2024, Vol. 23 Issue 4, p323-336. 14p.
Autor:
De Marco, Stefano, Martini, Claude
We extend the model-free formula of [Fukasawa 2012] for $\mathbb E[\Psi(X_T)]$, where $X_T=\log S_T/F$ is the log-price of an asset, to functions $\Psi$ of exponential growth. The resulting integral representation is written in terms of normalized im
Externí odkaz:
http://arxiv.org/abs/1703.00957
Autor:
De Marco, Stefano, Dumont, Guillaume, Helsper, Ellen Johanna, Díaz-Guerra, Alejandro, Antino, Mirko, Rodríguez-Muñoz, Alfredo, Martínez-Cantos, José-Luis
Publikováno v:
Social Inclusion, 11, 4, 184-197, Digitalization of Working Worlds and Social Inclusion
This article examines how inequalities in digital skills shape the outcomes of online job‐seeking processes. Building on a representative survey of Spanish job seekers, we show that people with high digital skill levels have a greater probability o
Externí odkaz:
https://www.ssoar.info/ssoar/handle/document/90662
Autor:
De Marco, Stefano
Des travaux récents dans le domaine des mathématiques financières ont fait émerger l'importance de l'étude de la régularité et du comportement fin des queues de distribution pour certaines classes de diffusions à coefficients non globalement
Externí odkaz:
http://www.theses.fr/2010PEST1017/document
Autor:
Bourgey, Florian1,2 (AUTHOR), De Marco, Stefano1 (AUTHOR) stefano.de-marco@polytechnique.edu, Friz, Peter K.3 (AUTHOR), Pigato, Paolo4 (AUTHOR)
Publikováno v:
Mathematical Finance. Oct2023, Vol. 33 Issue 4, p1119-1145. 27p.
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