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

Academic director, 1st year of the Double degree Data and Finance, Ecole Polytechnique - HEC
Associate researcher, Chaire Futures of Quantitative Finance

Office : 3029
Phone : +33 (0)1 6933 4598
Fax : +33 (0)1 6933 4646
E-mail : stefano.de-marco[change this]polytechnique.edu

CMAP, École Polytechnique
Route de Saclay
91128 Palaiseau Cedex
France


Welcome to my homepage. I am a member of the research team in Financial Mathematics and of the research team in Numerical probability and statistical learning at Ecole Polytechnique.

I am in charge of the Chaire Deep Learning and Statistics, a joint research program between Ecole Polytechnique and Qube RT, since November 2023.

I am also part of the scientific committee of the Chaire Stress Test, Risk Management and Financial Steering, a joint research program between
Ecole Polytechnique, BNP Paribas and Fondation de l'Ecole Polytechnique.



Research Interests

Numerical probability, stochastic analysis and mathematical finance - with focus on



PhD students


Responsabilités


Enseignement


Recent papers

Yet another analysis of the SP500 at-the-money skew: crossover of different power-law behaviours. With J. Delemotte, F. Ségonne
Preprint SSRN, 2023

Weak approximations and VIX option price expansions in forward variance curve models. With F. Bourgey, E. Gobet
Forthcoming in Quantitative Finance, 23:9, 1259-1283. ArXiv version.

Local volatility from rough volatility. With F. Bourgey, P. Friz, P. Pigato.
Forthcoming in Mathematical Finance, 33, 1119-1145.


Publications

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model. With F. Bourgey.
Journal of Computational Finance, 26(2):53-82, 2022.
Select within the "online early" articles of the JCF. ArXiv version.

On the harmonic mean representation of the implied volatility.
SIAM J. Finan. Math, 12(2):551-565, 2021. ArXiv version.

Multilevel Monte-Carlo methods and lower/upper bounds in Initial Margin computations. With F. Bourgey, E. Gobet, A. Zhou.
Monte Carlo Methods and Applications, 26(2):131–161, 2020. Hal

Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements.
ESAIM: Proceedings and Surveys, Vol. 65, pp. 1-26, 2019. With A. Agarwal, E. Gobet, J. López-Salas, F. Noubiagain, A. Zhou. Hal

Study of new rare event simulation schemes and their application to extreme scenario generation. With A. Agarwal, E. Gobet, G. Liu.
Mathematics and Computer in Simulations, 143, pp. 89-98, 2018. Hal.

Local Volatility, Conditioned Diffusions, and Varadhan's Formula. With P. Friz.
SIAM J. Finan. Math., 9(2), 835–874, 2018. ArXiv.

Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula. With C. Martini
Quantitative Finance, 18, pp. 609–622, 2018. Journal eprint link (expires after 50 downloads), ArXiv.

Local volatility from American options. With P. Henry-Labordère.
Risk Magazine, November 2017. SSRN.

Shapes of implied volatility with positive mass at zero. With C. Hillairet and A. Jacquier.
SIAM J. Financ. Math. 8(1), pp. 709-737, 2017. 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 6(1), pp. 1171–1194, 2015. journal link.

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.




Seminars and links

J'ai organisé jusqu'à juin 2017 le GT modèles stochastiques et finance du CMAP, en collaboration avec ENSTA et ENSAE. Mon collègue Thibaut Mastrolia a pris le relai en 2017-18.

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