Claude Martini

Zeliade Systems

CEO

Paris

France

http://www.zeliade.com

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 25,198

SSRN RANKINGS

Top 25,198

in Total Papers Downloads

2,417

SSRN CITATIONS
Rank 25,635

SSRN RANKINGS

Top 25,635

in Total Papers Citations

23

CROSSREF CITATIONS

14

Scholarly Papers (9)

1.

The Extended SSVI Volatility Surface

Number of pages: 20 Posted: 22 May 2017
Sebas Hendriks and Claude Martini
Delft University of Technology and Zeliade Systems
Downloads 774 (39,521)
Citation 10

Abstract:

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volatility smile, volatility surface, no-arbitrage

2.

Heston 2010

Number of pages: 31 Posted: 28 Feb 2011 Last Revised: 07 Mar 2011
Antoine (Jack) Jacquier and Claude Martini
Imperial College London and Zeliade Systems
Downloads 491 (71,149)
Citation 1

Abstract:

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Heston, stochastic volatility, calibration, pricing, implied volatility

3.

The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston

Number of pages: 25 Posted: 13 Jun 2010 Last Revised: 20 Nov 2010
Stefano De Marco and Claude Martini
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Zeliade Systems
Downloads 474 (74,256)
Citation 2

Abstract:

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Implied Volatility, Term Structure, Symmetric Smiles, SVI, Heston, Real-Valued Functions

4.

Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
Downloads 288 (130,466)
Citation 9

Abstract:

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SVI volatility surface, calendar spread arbitrage, butterfly arbitrage, static arbitrage

5.

On VIX Futures in the Rough Bergomi Model

Number of pages: 21 Posted: 19 Jan 2017
Imperial College London, Zeliade Systems and Imperial College London
Downloads 161 (225,147)
Citation 9

Abstract:

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Implied volatility, fractional Brownian motion, rough Bergomi, VIX Futures, VIX smile

6.

No Arbitrage SVI

Number of pages: 38 Posted: 04 Jun 2020 Last Revised: 25 May 2021
Claude Martini and Arianna Mingone
Zeliade Systems and Ecole Polytechnique de Paris (CMAP)
Downloads 120 (283,846)
Citation 2

Abstract:

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Implied volatility, volatility smile, calibration, SVI, arbitrage-free parameterization

7.

The α-Hypergeometric Stochastic Volatility Model

Number of pages: 24 Posted: 19 Sep 2014
José Da Fonseca and Claude Martini
Auckland University of Technology - Faculty of Business & Law and Zeliade Systems
Downloads 64 (417,389)
Citation 8

Abstract:

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Equity stochastic volatility models, Volatility derivatives, European option pricing.

8.

Explicit No Arbitrage Domain for Sub-SVIs via Reparametrization

Number of pages: 41 Posted: 08 Jun 2021
Arianna Mingone and Claude Martini
Ecole Polytechnique de Paris (CMAP) and Zeliade Systems
Downloads 27 (581,041)

Abstract:

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Implied volatility, volatility smile, calibration, SVI, sub-SVIs, arbitrage-free parameterization

9.

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

Number of pages: 28 Posted: 14 May 2021
Claude Martini and Iacopo Raffaelli
Zeliade Systems and Scuola Normale Superiore
Downloads 18 (641,679)

Abstract:

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Implied volatility, Absence of arbitrage, Bubble, SDE