32 citations · 42 across the 8 of their papers we have counts for
10 papers
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
A. Agarwal, S. De Marco, E. Gobet +3
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide ex…
Local volatility under rough volatility
Florian Bourgey, Stefano De Marco, Peter K. Friz +1
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a b…
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Florian Bourgey, Stefano De Marco
We consider the pricing of VIX options in the rough Bergomi model. In this setting, the VIX random variable is defined by the one-dimensional integral of the exponential of a Gauss…
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…
Two examples of non strictly convex large deviations
Stefano De Marco, Antoine Jacquier, Patrick Roome
We present two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by a model used in mathematical finance (the Heston model)…
On small-noise equations with degenerate limiting system arising from volatility models
Giovanni Conforti, Stefano De Marco, Jean-Dominique Deuschel
The one-dimensional SDE with non Lipschitz diffusion coefficient is widely studied in mathematical finance. Several works…
Varadhan's formula, conditioned diffusions, and local volatilities
Stefano De Marco, Peter Friz
Motivated by marginals-mimicking results for Itô processes via SDEs and by their applications to volatility modeling in finance, we discuss the weak convergence of the law of a hyp…
Shapes of implied volatility with positive mass at zero
Stefano De Marco, Caroline Hillairet, Antoine Jacquier
We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and t…
Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
Stefano De Marco
We study smoothness of densities for the solutions of SDEs whose coefficients are smooth and nondegenerate only on an open domain . We prove that a smooth density exists on …
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Vlad Bally, Stefano De Marco
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the lo…