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Change of numeraire in the two-marginals martingale transport problem

Campi, Luciano; Laachir, Ismail; Martini, Claude - In: Finance and stochastics 21 (2017) 2, pp. 471-486

Persistent link: https://www.econbiz.de/10011944399

On VIX futures in the rough Bergomi model

Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10011905829

Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula

De Marco, Stefano; Martini, Claude - In: Quantitative finance 18 (2018) 4, pp. 609-622

Persistent link: https://www.econbiz.de/10011906443

The extended SSVI volatility surface

Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39

Persistent link: https://www.econbiz.de/10012042223

Refined analysis of the no-butterfly-arbitrage domain for SSVI slices

Martini, Claude; Mingone, Arianna - In: The journal of computational finance : JFC 27 (2023) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10014486951

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds

Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10012019745

THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON

MARCO, S. DE; MARTINI, C. - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250026-1

We study the term structure of the implied volatility in the presence of a symmetric smile. Exploiting the result by Tehranchi (2009) that a symmetric smile generated by a continuous martingale necessarily comes from a mixture of normal distributions, we derive representation formulae for the...

Persistent link: https://www.econbiz.de/10010552938

Analyzing trade-offs in international climate policy options : the case of the green climate fund

Markandya, Anil; Antimiani, A.; Costantini, Valeria; … - In: World development : the multi-disciplinary … 74 (2015), pp. 93-107

Persistent link: https://www.econbiz.de/10011525558