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A Theoretical Framework for the Pricing of Contingent Claims in the Presence of Model Uncertainty

The Annals of applied probability, 2006-05, Vol.16 (2), p.827-852

2006

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On VIX futures in the rough Bergomi model

Quantitative finance, 2018-01, Vol.18 (1), p.45-61

2018

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

The journal of computational finance, 2023-09

2023

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No Arbitrage SVI

SIAM journal on financial mathematics, 2022-03, Vol.13 (1), p.227-261

2022

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On the support of extremal martingale measures with given marginals: the countable case

Advances in applied probability, 2019-06, Vol.51 (2), p.570-605

2019

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The extended SSVI volatility surface

The journal of computational finance, 2019-04

2019

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

Quantitative finance, 2018-04, Vol.18 (4), p.609-622

2018

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Change of numeraire in the two-marginals martingale transport problem

Finance and stochastics, 2017-04, Vol.21 (2), p.471-486

2017

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The α-hypergeometric stochastic volatility model

Stochastic processes and their applications, 2016-05, Vol.126 (5), p.1472-1502

2016

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Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

SIAM journal on financial mathematics, 2021-01, Vol.12 (2), p.SC1-SC15

2021

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Robust calibration and arbitrage-free interpolation of SSVI slices

Decisions in economics and finance, 2019-12, Vol.42 (2), p.665-677

2019

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Generalized Arbitrage-Free SVI Volatility Surfaces

SIAM journal on financial mathematics, 2016-01, Vol.7 (1), p.619-641

2016

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Options Are Also Options on Options: How to Smile With Black-Scholes

SSRN Electronic Journal, 2023

2023

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A Closed Form Model-Free Approximation for the Initial Margin of Option Portfolios

SSRN Electronic Journal, 2023

2023

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Model validation: theory, practice and perspectives

Journal of risk model validation, 2012-01, Vol.5 (4), p.3-15

2012

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Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales

SSRN Electronic Journal

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Explicit no arbitrage domain for sub-SVIs via reparametrization

SSRN Electronic Journal

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

International journal of theoretical and applied finance, 2012-06, Vol.15 (4), p.1

2012

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No Arbitrage SVI

SSRN Electronic Journal

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The Extended SSVI Volatility Surface

SSRN Electronic Journal

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Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

SSRN Electronic Journal

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On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand

Annales de l'I.H.P. Probabilités et statistiques, 2000-01, Vol.36 (1), p.35-43

Martini, C

2000

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American prices embedded in European prices

Annales de l'Institut Henri Poincaré. Analyse non linéaire, 2001-01, Vol.18 (1), p.1-17

2001

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Generalised Arbitrage-Free SVI Volatility Surfaces

SSRN Electronic Journal

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Unbounded Volatility in the Uncertain Volatililty Model

SSRN Electronic Journal

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A Theoretical Framework for the Pricing of Contingent Claims in the Presence of Model Uncertainty

On VIX futures in the rough Bergomi model

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

No Arbitrage SVI

On the support of extremal martingale measures with given marginals: the countable case

The extended SSVI volatility surface

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

Change of numeraire in the two-marginals martingale transport problem

The α-hypergeometric stochastic volatility model

Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

Robust calibration and arbitrage-free interpolation of SSVI slices

Generalized Arbitrage-Free SVI Volatility Surfaces

Options Are Also Options on Options: How to Smile With Black-Scholes

A Closed Form Model-Free Approximation for the Initial Margin of Option Portfolios

Model validation: theory, practice and perspectives

Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales

Explicit no arbitrage domain for sub-SVIs via reparametrization

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

No Arbitrage SVI

The Extended SSVI Volatility Surface

Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand

American prices embedded in European prices

Generalised Arbitrage-Free SVI Volatility Surfaces

Unbounded Volatility in the Uncertain Volatililty Model

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