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Claude Martini
Claude Martini
CEO, Zeliade Systems
Adresse e-mail validée de zeliade.com
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A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
L Denis, C Martini
3802006
On VIX futures in the rough Bergomi model
A Jacquier, C Martini, A Muguruza
Quantitative Finance 18 (1), 45-61, 2018
682018
Change of numeraire in the two-marginals martingale transport problem
L Campi, I Laachir, C Martini
Finance and Stochastics 21 (2), 471-486, 2017
412017
The α-hypergeometric stochastic volatility model
J Da Fonseca, C Martini
Stochastic Processes and their Applications 126 (5), 1472-1502, 2016
392016
Generalized arbitrage-free SVI volatility surfaces
G Guo, A Jacquier, C Martini, L Neufcourt
SIAM Journal on Financial Mathematics 7 (1), 619-641, 2016
322016
A stochastic conflict detection model revisited
K Blin, M Akian, F Bonnans, E Hoffman, C Martini, K Zeghal
18th Applied Aerodynamics Conference, 4270, 2000
292000
Propagation of convexity by Markovian and martingalian semigroups
C Martini
Potential Analysis 10, 133-175, 1999
291999
Variance optimal hedging in the Black-Scholes model for a given number of transactions
C Martini, C Patry
INRIA, 1999
281999
The extended SSVI volatility surface
S Hendriks, C Martini
Available at SSRN 2971502, 2017
252017
No arbitrage SVI
C Martini, A Mingone
SIAM Journal on Financial Mathematics 13 (1), 227-261, 2022
222022
Model validation: Theory, practice and perspectives
P Hénaff, C Martini
Practice and Perspectives (January 18, 2010), 2010
192010
Quasi-explicit calibration of Gatheral’s SVI model’
S De Marco, C Martini
Zeliade White Paper, 1-15, 2009
152009
Approximation of American put prices by European prices via an embedding method
B Jourdain, C Martini
The Annals of Applied Probability 12 (1), 196-223, 2002
142002
American prices embedded in European prices
B Jourdain, C Martini
Annales de l'IHP Analyse non linéaire 18 (1), 1-17, 2001
132001
The term structure of implied volatility in symmetric models with applications to Heston
S De Marco, C Martini
International Journal of Theoretical and Applied Finance 15 (04), 1250026, 2012
122012
Uncertain volatility model
C Martini, A Jacquier
Encyclopedia of Quantitative Finance, 2010
112010
Superhedging strategies and balayage in discrete time
S Deparis, C Martini
Seminar on Stochastic Analysis, Random Fields and Applications IV: Centro …, 2004
112004
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
92019
Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
S De Marco, C Martini
Quantitative Finance 18 (4), 609-622, 2018
92018
On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand
C Martini
Annales de l'Institut Henri Poincare (B) Probability and Statistics 36 (1 …, 2000
92000
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