Stefano De Marco
Assistant Professor in Applied Mathematics at CMAP, Ecole Polytechnique.

Office : 3029
Phone : +33 (0)1 6933 4598
Fax : +33 (0)1 6933 4646
E-mail : demarco[and the host is]

CMAP, École Polytechnique
Route de Saclay
91128 Palaiseau Cedex

Welcome to my homepage. I am a member of the research teams Financial Mathematics and SIMPAS at Ecole Polytechnique.

Research Interests

Stochastic analysis and mathematical finance, with focus on

I am also a member of the ANR research project Isotace.


Publications & preprints

Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula. With C. Martini
Preprint arXiv.

Local volatility from American options. With P. Henry-Labordère.
Preprint ssrn.

Study of new rare event simulation schemes and their application to extreme scenario generation. With A. Agarwal, E. Gobet, G. Liu.
Preprint Hal.

Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. With A. Agarwal, E. Gobet, G. Liu.
Preprint Hal.

Varadhan's estimates, projected diffusions, and local volatilities. With P. Friz.
Forthcoming in SIAM J. Financ. Math. arXiv.

Shapes of implied volatility with positive mass at zero. With C. Hillairet and A. Jacquier.
Forthcoming in SIAM J. Financ. Math. arXiv.

Two examples of non strictly convex large deviations. With A. Jacquier and P. Roome.
Electronic Communications in Probability, 21(1), p. 1-12, 2016. arXiv.

Linking Vanillas and VIX options: A constrained martingale optimal transport problem. With P. Henry-Labordère.
SIAM J. Financ. Math, Vol. 6, Issue 1, p. 1171–1194, 2015. journal, local pdf.

On small–noise equations with degenerate limiting system arising from volatility models. With G. Conforti and J-D. Deuschel.
Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics and Statistics, Vol. 110, 2015. arXiv.

Rational Shapes of the local volatility surface. With P. Friz and S. Gerhold.
Risk magazine, February 2013, p. 82-87. Available here.

The Term Structure of Implied Volatility in Symmetric Models, with applications to Heston. With C. Martini.
The International Journal of Theoretical and Applied Finance,15(4): 1250026 [27 pages], 2012. journal, ssrn.

Some estimates in extended Stochastic Volatility models of Heston type. With V. Bally.
Risk and Decision Analysis, 2(4): 195-206, 2011. journal, hal.

Smoothness and Asymptotic Estimates of densities for SDEs with locally smooth coefficients and applications to square-root diffusions.
Annals of Applied Probability, 21(4): 1282-1321, 2011. journal, arXiv.

Other works

Quasi-Explicit calibration of Gatheral's SVI model. 2009.
Zeliade Systems White Paper #5, available here. With C. Martini.

You can also have a look at my Ph.D thesis.

Seminars and links

J'organise (avec Julien Claisse) le GT modèles stochastiques et finance du CMAP. Si vous voulez etre ajouté à la liste de diffusion, écrivez-moi.

Until 2015 I was co-organizer of the Parisian Model Validation Seminar, a quarterly seminar bringing together academics and practitioners involved in the theme of model risk / model validation in finance.