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Shapes of implied volatility with positive mass at zero

De Marco, Stefano; Hillairet, Caroline; Jacquier, A. - 2017

Persistent link: https://www.econbiz.de/10012200251

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model

Bourgey, Florian; De Marco, Stefano - In: The journal of computational finance 26 (2022) 2, pp. 53-82

Persistent link: https://www.econbiz.de/10013549658

Weak approximations and VIX option price expansions in forward variance curve models

Bourgey, F.; De Marco, Stefano; Gobet, Emmanuel - In: Quantitative finance 23 (2023) 9, pp. 1259-1283

Persistent link: https://www.econbiz.de/10014339914

Local volatility under rough volatility

Bourgey, Florian; De Marco, Stefano; Friz, Peter K.; … - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1119-1145

Persistent link: https://www.econbiz.de/10014370641

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

Some estimates in extended stochastic volatility models of Heston type

Bally, V.; De Marco, Stefano - In: Risk and decision analysis 2 (2010/11) 4, pp. 195-206

Persistent link: https://www.econbiz.de/10009537821

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

The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston

De Marco, Stefano - 2010

We study the term structure of the implied volatility in a situation where the smile is symmetric. Starting from the result by Tehranchi that a symmetric smile generated by a continuous martingale necessarily comes from a mixture of normal distributions, we derive representation formulae for the...

Persistent link: https://www.econbiz.de/10013142386

Influence of abilities for searching commercial information online on e-shopping : when inequality affects business

De Marco, Stefano; Robles Morales, José Manuel; … - In: Revista globalización, competitividad y gobernabilidad … 10 (2016) 3, pp. 136-152

Persistent link: https://www.econbiz.de/10011658852

Online job search discouragement : how employment platforms and digital exclusion shape the experience of low-qualified job seekers?

Dumont, Guillaume; De Marco, Stefano; Heslper, Ellen Johanna - In: New technology, work and employment 39 (2024) 1, pp. 89-108

Persistent link: https://www.econbiz.de/10014517291