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

Stochastic analysis and mathematical finance, with focus on

• Asymptotics for diffusion processes, large deviations
• Regularity of densities and tail estimates via Malliavin calculus
• Volatility modeling in finance, smile asymptotics
• Robust hedging and martingale optimal transport (for VIX derivatives)

• Stochastic Simulation and Monte-Carlo methods MAP564, Ecole Polytechnique


• Calibration de modèles. Master Probabilités et Finance UPMC-Ecole Polytechnique
  • Intro cours, slides 2/02/2016, slides 09-16/03/2016 (plus de matériel a été abordé au tableau).
  • TD du 02/03/2016. Points bonus pour les volontaires.
  • Liste articles.


• Calibration de modèles, volatilité locale et stochastique. Master MMME Université Paris 1 et Ensta


• Modal MAP474 SNA, Ecole Polytechnique.

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.

Shapes of implied volatility with positive mass at zero. With C. Hillairet and A. Jacquier.
Preprint arXiv, ssrn.

Varadhan's estimates, projected diffusions, and local volatilities. With P. Friz.
Under revision. Preprint 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. Preprint arXiv.

Linking Vanillas and VIX options: A constrained martingale optimal transport problem. With P. Henry-Labordère.
SIAM Journal on Financial Mathematics, 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.

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

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