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Stefano De Marco · Study

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Stefano De Marco

3 works· latest 2017· 2 institutionscluster: provisionalORCID 0000-0002-1161-736X

h-index3

i103

Citations91

Works here3

11

15

17

Most cited in this library

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem2015 · 37 citations
Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions2011 · 32 citations
Shapes of Implied Volatility with Positive Mass at Zero2017 · 22 citations

Works

3 shown

Shapes of Implied Volatility with Positive Mass at Zero

SIAM Journal on Financial Mathematics·2017·3 authors·Open access

22citations

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

SIAM Journal on Financial Mathematics·2015·2 authors·Open access

37citations

Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions

The Annals of Applied Probability·2011·1 author·Open access

32citations