360 citations · 393 across the 10 of their papers we have counts for
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q-fin.PR2017
Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula
Stefano De Marco, Claude Martini
We extend the model-free formula of [Fukasawa 2012] for , where is the log-price of an asset, to functions of exponential growth. The result…
q-fin.PR2017
On VIX Futures in the rough Bergomi model
Antoine Jacquier, Claude Martini, Aitor Muguruza
The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles i…