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Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
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Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.
;
De Marco, Stefano
;
Gobet, Emmanuel
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
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Local volatility under rough volatility
Bourgey, Florian
;
De Marco, Stefano
;
Friz, Peter K.
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1119-1145
Persistent link: https://www.econbiz.de/10014370641
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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
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Online job search discouragement : how employment platforms and digital exclusion shape the experience of low-qualified job seekers?
Dumont, Guillaume
;
De Marco, Stefano
;
Heslper, Ellen Johanna
- In:
New technology, work and employment
39
(
2024
)
1
,
pp. 89-108
Persistent link: https://www.econbiz.de/10014517291
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Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline
;
Jiao, Ying
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
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Invited editorial "The challenges imposed by low interest rates”
Beacco, Jean-Michel
;
Lubochinsky, Catherine
;
Briere, Marie
- In:
The journal of asset management
20
(
2019
)
6
,
pp. 413-420
Persistent link: https://www.econbiz.de/10012125372
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Multivariate Hawkes process for cyber insurance
Bessy-Roland, Yannick
;
Boumezoued, Alexandre
; …
- In:
Annals of actuarial science : publ. by the Institute of …
15
(
2021
)
1
,
pp. 14-39
Persistent link: https://www.econbiz.de/10012505588
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Propagation of cyber incidents in an insurance portfolio : counting processes combined with compartmental epidemiological models
Hillairet, Caroline
;
Lopez, Olivier
- In:
Scandinavian actuarial journal
2021
(
2021
)
8
,
pp. 671-694
Persistent link: https://www.econbiz.de/10012653667
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10
Ramsey rule with forward/backward utility for long-term yield curves modeling
El Karoui, Nicole
;
Hillairet, Caroline
;
Mrad, Mohamed
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 375-414
Persistent link: https://www.econbiz.de/10013380575
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