De Marco, Stefano On the harmonic mean representation of the implied volatility. (English) Zbl 1461.91311 SIAM J. Financ. Math. 12, No. 2, 551-565 (2021). MSC: 91G20 42A99 PDFBibTeX XMLCite \textit{S. De Marco}, SIAM J. Financ. Math. 12, No. 2, 551--565 (2021; Zbl 1461.91311) Full Text: DOI arXiv
De Marco, Stefano; Friz, Peter K. Local volatility, conditioned diffusions, and Varadhan’s formula. (English) Zbl 1410.91443 SIAM J. Financ. Math. 9, No. 2, 835-874 (2018). MSC: 91G20 60F10 PDFBibTeX XMLCite \textit{S. De Marco} and \textit{P. K. Friz}, SIAM J. Financ. Math. 9, No. 2, 835--874 (2018; Zbl 1410.91443) Full Text: DOI
De Marco, S.; Hillairet, C.; Jacquier, A. Shapes of implied volatility with positive mass at zero. (English) Zbl 1407.91246 SIAM J. Financ. Math. 8, 709-737 (2017). MSC: 91G20 65C50 62G32 91G60 62P05 PDFBibTeX XMLCite \textit{S. De Marco} et al., SIAM J. Financ. Math. 8, 709--737 (2017; Zbl 1407.91246) Full Text: DOI arXiv
De Marco, Stefano; Henry-Labordère, Pierre Linking vanillas and VIX options: a constrained martingale optimal transport problem. (English) Zbl 1386.91138 SIAM J. Financ. Math. 6, 1171-1194 (2015). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 49N15 90C05 90C34 90C46 PDFBibTeX XMLCite \textit{S. De Marco} and \textit{P. Henry-Labordère}, SIAM J. Financ. Math. 6, 1171--1194 (2015; Zbl 1386.91138) Full Text: DOI Link