Claude Martini

Identifiers

• name variant Claude Martini 0.60 · backfill

Papers (8)

1. Robust calibration and arbitrage-free interpolation of SSVI slices q-fin.CP · 2018 · author #3
2. Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula q-fin.PR · 2017 · author #2
3. On VIX Futures in the rough Bergomi model q-fin.PR · 2017 · author #2
4. On the support of extremal martingale measures with given marginals: the countable case math.PR · 2016 · author #2
5. The $\alpha$-Hypergeometric Stochastic Volatility Model q-fin.PR · 2014 · author #2
6. Change of numeraire in the two-marginals martingale transport problem math.PR · 2014 · author #3
7. Generalised arbitrage-free SVI volatility surfaces q-fin.PR · 2012 · author #3
8. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty math.PR · 2006 · author #2

Mentions

• 1409.5142 #2 · backfill · confidence 0.70 Claude Martini
• 1406.6951 #3 · backfill · confidence 0.70 Claude Martini
• 1210.7111 #3 · backfill · confidence 0.70 Claude Martini

Frequent Coauthors

• Antoine Jacquier 2 shared papers
• Ismail Laachir 2 shared papers
• Luciano Campi 2 shared papers
• Aitor Muguruza 1 shared papers
• Gaoyue Guo 1 shared papers
• Jacopo Corbetta 1 shared papers
• Jos\'e Da Fonseca 1 shared papers
• Laurent Denis 1 shared papers
• Leo Neufcourt 1 shared papers
• Pierre Cohort 1 shared papers
• Stefano De Marco 1 shared papers