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Dive into the research topics where Stefano De Marco is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
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Local volatility under rough volatility
Bourgey, F., De Marco, S., Friz, P. K. & Pigato, P., 1 Oct 2023, In: Mathematical Finance. 33, 4, p. 1119-1145 27 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F., De Marco, S. & Gobet, E., 1 Jan 2023, In: Quantitative Finance. 23, 9, p. 1259-1283 25 p.Research output: Contribution to journal › Article › peer-review
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Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, F. & De Marco, S., 1 Sept 2022, In: Journal of Computational Finance. 26, 2Research output: Contribution to journal › Article › peer-review
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On the harmonic mean representation of the implied volatility
de Marco, S., 1 Jan 2021, In: SIAM Journal on Financial Mathematics. 12, 2, p. 551-565 15 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
Bourgey, F., De Marco, S., Gobet, E. & Zhou, A., 1 Jun 2020, In: Monte Carlo Methods and Applications. 26, 2, p. 131-161 31 p.Research output: Contribution to journal › Article › peer-review
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Local volatility, conditioned diffusions, and Varadhan’s formula
De Marco, S. & Friz, P. K., 1 Jan 2018, In: SIAM Journal on Financial Mathematics. 9, 2, p. 835-874 40 p.Research output: Contribution to journal › Article › peer-review
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Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
De Marco, S. & Martini, C., 3 Apr 2018, In: Quantitative Finance. 18, 4, p. 609-622 14 p.Research output: Contribution to journal › Article › peer-review
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Study of new rare event simulation schemes and their application to extreme scenario generation
Agarwal, A., De Marco, S., Gobet, E. & Liu, G., 1 Jan 2018, In: Mathematics and Computers in Simulation. 143, p. 89-98 10 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Shapes of implied volatility with positive mass at zero
De Marco, S., Hillairet, C. & Jacquier, A., 1 Jan 2017, In: SIAM Journal on Financial Mathematics. 8, 1, p. 709-737 29 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Two examples of non strictly convex large deviations
De Marco, S., Jacquier, A. & Roome, P., 1 Jan 2016, In: Electronic Communications in Probability. 21, 38.Research output: Contribution to journal › Article › peer-review
Open Access