E-LIB Suche - Ergebnisse für: Martini, Claude

1

No Arbitrage SVI:

Martini, Claude ; Mingone, Arianna
SIAM Journal on Financial Mathematics. 13 (2022) 1 - p. 227-261 , 2022

2

Short Communication: Dynamics of Symmetric SSVI Smiles and ..:

Amrani, Mehdi El ; Jacquier, Antoine ; Martini, Claude
SIAM Journal on Financial Mathematics. 12 (2021) 2 - p. SC1-SC15 , 2021

Link: https://doi.org/10.1137/..

3

Robust calibration and arbitrage-free interpolation of SSVI..:

Corbetta, Jacopo ; Cohort, Pierre ; Laachir, Ismail.
Decisions in Economics and Finance. 42 (2019) 2 - p. 665-677 , 2019

Link: https://doi.org/10.1007/..

4

ON THE SUPPORT OF EXTREMAL MARTINGALE MEASURES WITH GIVEN M..:

CAMPI, LUCIANO ; MARTINI, CLAUDE
Advances in Applied Probability. 51 (2019) 2 - p. 570-605 , 2019

Link: https://www.jstor.org/st..

5

On the support of extremal martingale measures with given m..:

Campi, Luciano ; Martini, Claude
Advances in Applied Probability. 51 (2019) 2 - p. 570-605 , 2019

Link: https://doi.org/10.1017/..

6

Moment generating functions and normalized implied volatili..:

De Marco, Stefano ; Martini, Claude
Quantitative Finance. 18 (2017) 4 - p. 609-622 , 2017

Link: https://doi.org/10.1080/..

7

On VIX futures in the rough Bergomi model:

Jacquier, Antoine ; Martini, Claude ; Muguruza, Aitor
Quantitative Finance. 18 (2017) 1 - p. 45-61 , 2017

Link: https://doi.org/10.1080/..

8

The α-hypergeometric stochastic volatility model:

Da Fonseca, José ; Martini, Claude
Stochastic Processes and their Applications. 126 (2016) 5 - p. 1472-1502 , 2016

Link: https://doi.org/10.1016/..

9

Generalized Arbitrage-Free SVI Volatility Surfaces:

Guo, Gaoyue ; Jacquier, Antoine ; Martini, Claude.
SIAM Journal on Financial Mathematics. 7 (2016) 1 - p. 619-641 , 2016

Link: https://doi.org/10.1137/..

10

Change of numeraire in the two-marginals martingale transpo..:

Campi, Luciano ; Laachir, Ismail ; Martini, Claude
Finance and Stochastics. 21 (2016) 2 - p. 471-486 , 2016

Link: https://doi.org/10.1007/..

11

A Theoretical Framework for the Pricing of Contingent Claim..:

Denis, Laurent ; Martini, Claude
The Annals of Applied Probability. 16 (2006) 2 - p. 827-852 , 2006

Link: https://www.jstor.org/st..

12

American prices embedded in European prices:

Jourdain, Benjamin ; Martini, Claude
Annales de l'Institut Henri Poincaré C, Analyse non linéaire. 18 (2001) 1 - p. 1-17 , 2001

Link: https://doi.org/10.1016/..

13

Study of formulation and stability of emulsions with polyme..:

Bobin, Marie-France ; Michel, Valérie ; Martini, Marie-Claude
Colloids and Surfaces A: Physicochemical and Engineering Aspects. 152 (1999) 1-2 - p. 53-58 , 1999

Link: https://doi.org/10.1016/..

14

A closed form model-free approximation for the Initial Marg..:

Martini, Claude ; Mingone, Arianna
http://arxiv.org/abs/2306.16346. , 2023

Link: http://arxiv.org/abs/230..

15

Options are also options on options: how to smile with Blac..:

Martini, Claude ; Mingone, Arianna
http://arxiv.org/abs/2308.04130. , 2023

Link: http://arxiv.org/abs/230..