Claude Martini

Zeliade Systems

CEO

Paris

France

http://www.zeliade.com

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 26,119

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Top 26,119

in Total Papers Downloads

2,256

SSRN CITATIONS
Rank 28,932

SSRN RANKINGS

Top 28,932

in Total Papers Citations

16

CROSSREF CITATIONS

14

Scholarly Papers (8)

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 711 (43,211)
Citation 8

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 482 (71,035)
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 467 (73,869)
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 282 (130,419)
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 158 (223,940)
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: 33 Posted: 04 Jun 2020
Claude Martini and Arianna Mingone
Zeliade Systems and Zeliade Systems
Downloads 92 (332,588)
Citation 1

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 (409,099)
Citation 8

Abstract:

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

Abstract:

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Implied volatility, Absence of arbitrage, Bubble, SDE