Some estimates in extended stochastic volatility models of Heston type. - Vlad Bally; Stefano De Marco (Risk Decis. Anal., 2011)

Assessing a Measurement Model for Digital Political Participation: A Multidisciplinary Point of View. - Stefano De Marco; Mirko Antino; José Manuel Robles Morales (Empowering Open and Collaborative Governance, 2012)

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem. - Stefano De Marco; Pierre Henry-Labordère (SIAM J. Financial Math., 2015)

Shapes of Implied Volatility with Positive Mass at Zero. - Stefano De Marco; Caroline Hillairet; Antoine Jacquier (SIAM J. Financial Math., 2017)

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)

Local Volatility, Conditioned Diffusions, and Varadhan's Formula. - Stefano De Marco; Peter K. Friz (SIAM J. Financial Math., 2018)

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)

On the Harmonic Mean Representation of the Implied Volatility. - Stefano De Marco (SIAM J. Financial Math., 2021)