Stefano De Marco

Identifiers

• name variant Stefano De Marco 0.60 · backfill

Papers (7)

1. Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula q-fin.PR · 2017 · author #1
2. Two examples of non strictly convex large deviations math.PR · 2014 · author #1
3. On small-noise equations with degenerate limiting system arising from volatility models math.PR · 2014 · author #2
4. Varadhan's formula, conditioned diffusions, and local volatilities q-fin.PR · 2013 · author #1
5. Shapes of implied volatility with positive mass at zero q-fin.PR · 2013 · author #1
6. Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions math.PR · 2011 · author #1
7. Bounds on Stock Price probability distributions in Local-Stochastic Volatility models q-fin.PR · 2010 · author #2

Mentions

• 1108.4558 #1 · backfill · confidence 0.70 Stefano De Marco
• 1006.3337 #2 · backfill · confidence 0.70 Stefano De Marco

Frequent Coauthors

• Antoine Jacquier 2 shared papers
• Caroline Hillairet 1 shared papers
• Claude Martini 1 shared papers
• Giovanni Conforti 1 shared papers
• Jean-Dominique Deuschel 1 shared papers
• Patrick Roome 1 shared papers
• Peter Friz 1 shared papers
• Vlad Bally 1 shared papers