Stefano De Marco

According to our database, Stefano De Marco authored at least 8 papers between 2011 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2021

On the Harmonic Mean Representation of the Implied Volatility.

Stefano De Marco

SIAM J. Financial Math., 2021

2020

Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations.

Florian Bourgey, Stefano De Marco, Emmanuel Gobet, Alexandre Zhou

Monte Carlo Methods Appl., 2020

2018

Local Volatility, Conditioned Diffusions, and Varadhan's Formula.

Stefano De Marco, Peter K. Friz

SIAM J. Financial Math., 2018

Study of new rare event simulation schemes and their application to extreme scenario generation.

Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu

Math. Comput. Simul., 2018

2017

Shapes of Implied Volatility with Positive Mass at Zero.

Stefano De Marco, Caroline Hillairet, Antoine Jacquier

SIAM J. Financial Math., 2017

2015

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem.

Stefano De Marco, Pierre Henry-Labordère

SIAM J. Financial Math., 2015

2012

Assessing a Measurement Model for Digital Political Participation: A Multidisciplinary Point of View.

Stefano De Marco, Mirko Antino, José Manuel Robles Morales

Proceedings of the Empowering Open and Collaborative Governance, 2012

2011

Some estimates in extended stochastic volatility models of Heston type.

Vlad Bally, Stefano De Marco

Risk Decis. Anal., 2011