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Change of numeraire in the two-marginals martingale transport problem

Campi, Luciano; Laachir, Ismail; Martini, Claude - In: Finance and stochastics 21 (2017) 2, pp. 471-486

Persistent link: https://www.econbiz.de/10011944399

Change of numeraire in the two-marginals martingale transport problem

Campi, Luciano; Laachir, Ismail; Martini, Claude - arXiv.org - 2014

In this paper we consider the optimal transport approach for computing the model-free prices of a given path-dependent contingent claim in a two periods model. More precisely, we first specialize the optimal transport plan introduced in \cite{BeiglJuil}, following the construction of...

Persistent link: https://www.econbiz.de/10010907976

The extended SSVI volatility surface

Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39

Persistent link: https://www.econbiz.de/10012042223

On VIX futures in the rough Bergomi model

Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10011905829

Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula

De Marco, Stefano; Martini, Claude - In: Quantitative finance 18 (2018) 4, pp. 609-622

Persistent link: https://www.econbiz.de/10011906443

Model validation : theory, practice and perspectives

Hénaff, Patrick; Martini, Claude - In: The journal of risk model validation 5 (2011/12) 4, pp. 3-15

Persistent link: https://www.econbiz.de/10009422497

The term structure of implied volatility in symmetric models with applications to Heston

De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27

Persistent link: https://www.econbiz.de/10009624467

Refined analysis of the no-butterfly-arbitrage domain for SSVI slices

Martini, Claude; Mingone, Arianna - In: The journal of computational finance : JFC 27 (2023) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10014486951

Toward model value-at-risk : bespoke CDO tranches, a case study

Cohort, Pierre; Levy dit Vehel, Pierre Emmanuel; … - In: The journal of risk model validation 7 (2013) 3, pp. 21-34

Persistent link: https://www.econbiz.de/10010480651

Gas storage valuation and hedging. A quantification of the model risk

Henaff, Patrick; Laachir, Ismail; Russo, Francesco - arXiv.org - 2013

This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the...

Persistent link: https://www.econbiz.de/10010721863