activity
20102024
most citedSmoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions

32 citations · 42 across the 8 of their papers we have counts for

collaborators
Showing 2013Show all

2 papers · 1 filter

q-fin.PR2013

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…

q-fin.PR2013

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…