3 citations · 6 across the 4 of their papers we have counts for
7 papers
Analytical scores for stress scenarios
Pierre Cohort, Jacopo Corbetta, Ismail Laachir
In this work, inspired by the Archer-Mouy-Selmi approach, we present two methodologies for scoring the stress test scenarios used by CCPs for sizing their Default Funds. These meth…
Robust calibration and arbitrage-free interpolation of SSVI slices
Pierre Cohort, Jacopo Corbetta, Claude Martini +1
We describe a robust calibration algorithm of a set of SSVI slices (i.e. a set of 3 SSVI parameters attached to each option maturity available on the market), which grant…
Sampling of probability measures in the convex order by Wasserstein projection
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
In this paper, for and two probability measures on with finite moments of order , we define the respective projections for the -Wasserstein dist…
Evolution of the Wasserstein distance between the marginals of two Markov processes
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
In this paper, we are interested in the time derivative of the Wasserstein distance between the marginals of two Markov processes. As recalled in the introduction, the Kantorovich…
Backtesting Lambda Value at Risk
Jacopo Corbetta, Ilaria Peri
A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda Va…
The asymptotic smile of a multiscaling stochastic volatility model
Francesco Caravenna, Jacopo Corbetta
We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a…