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Jacopo Corbetta
Jacopo Corbetta
Zeliade Systems
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Title
Cited by
Cited by
Year
Sampling of probability measures in the convex order by Wasserstein projection
A Alfonsi, J Corbetta, B Jourdain
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 56 (3 …, 2020
302020
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
A Alfonsi, J Corbetta, B Jourdain
International Journal of Theoretical and Applied Finance 22 (03), 1950002, 2019
272019
Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems
A Alfonsi, J Corbetta, B Jourdain
Available at SSRN 3072356, 2017
192017
General smile asymptotics with bounded maturity
F Caravenna, J Corbetta
SIAM Journal on Financial Mathematics 7 (1), 720-759, 2016
162016
Backtesting lambda value at risk
J Corbetta, I Peri
The European Journal of Finance 24 (13), 1075-1087, 2018
102018
Evolution of the Wasserstein distance between the marginals of two Markov processes
A Alfonsi, J Corbetta, B Jourdain
Bernoulli 24 (4A), 2461-2498, 2018
82018
The asymptotic smile of a multiscaling stochastic volatility model
F Caravenna, J Corbetta
Stochastic Processes and their Applications 128 (3), 1034-1071, 2018
72018
Robust calibration and arbitrage-free interpolation of SSVI slices
J Corbetta, P Cohort, I Laachir, C Martini
Decisions in Economics and Finance 42 (2), 665-677, 2019
62019
A new approach to backtesting and risk model selection
J Corbetta, I Peri
Available at SSRN 2796253, 2018
52018
General smile asymptotics and a multiscaling stochastic volatility model
J Corbetta
Ph. D. thesis, Università degli Studi di Milano-Bicocca, 2015
22015
Analytical scores for stress scenarios
P Cohort, J Corbetta, I Laachir
arXiv preprint arXiv:2007.02567, 2020
2020
Sampling of probability measures in the convex order by Wasserstein projection
J Corbetta, B Jourdain
arXiv. org Papers, 2019
2019
Evolution of the Wasserstein distance between the marginals of two Markov processes
J Corbetta
2017
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