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Enhancing rough forward variance models with VIX smiles. by
  • De Marco, Stefano
  • Research in Options 2017 (2017: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2017
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2.
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Multilevel Monte-Carlo method and lower and upper bounds for Initial Margin computations. by
  • Florian, Bourgey
  • De Marco, Stefano
  • Gobet, Emmanuel
  • Zhou, A
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
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