32 citations · 42 across the 8 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…