Jacopo Corbetta

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Papers (6)

1. Robust calibration and arbitrage-free interpolation of SSVI slices q-fin.CP · 2018 · author #2
2. Sampling of probability measures in the convex order by Wasserstein projection math.PR · 2017 · author #2
3. Evolution of the Wasserstein distance between the marginals of two Markov processes math.PR · 2016 · author #2
4. Backtesting Lambda Value at Risk q-fin.RM · 2016 · author #1
5. The asymptotic smile of a multiscaling stochastic volatility model math.PR · 2015 · author #2
6. General smile asymptotics with bounded maturity q-fin.PR · 2014 · author #2

Mentions

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Frequent Coauthors

• Aur\'elien Alfonsi 2 shared papers
• Benjamin Jourdain 2 shared papers
• Francesco Caravenna 2 shared papers
• Claude Martini 1 shared papers
• Ilaria Peri 1 shared papers
• Ismail Laachir 1 shared papers
• Pierre Cohort 1 shared papers