Sampling of probability measures in the convex order by Wasserstein projection A Alfonsi, J Corbetta, B Jourdain | 37 | 2020 |
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds A Alfonsi, J Corbetta, B Jourdain International Journal of Theoretical and Applied Finance 22 (03), 1950002, 2019 | 36 | 2019 |
Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems A Alfonsi, J Corbetta, B Jourdain Available at SSRN 3072356, 2017 | 20 | 2017 |
General smile asymptotics with bounded maturity F Caravenna, J Corbetta SIAM Journal on Financial Mathematics 7 (1), 720-759, 2016 | 17 | 2016 |
Backtesting lambda value at risk J Corbetta, I Peri The European Journal of Finance 24 (13), 1075-1087, 2018 | 12 | 2018 |
Evolution of the Wasserstein distance between the marginals of two Markov processes A Alfonsi, J Corbetta, B Jourdain | 10 | 2018 |
Robust calibration and arbitrage-free interpolation of SSVI slices J Corbetta, P Cohort, I Laachir, C Martini Decisions in Economics and Finance 42 (2), 665-677, 2019 | 9 | 2019 |
The asymptotic smile of a multiscaling stochastic volatility model F Caravenna, J Corbetta Stochastic Processes and their Applications 128 (3), 1034-1071, 2018 | 6 | 2018 |
A new approach to backtesting and risk model selection J Corbetta, I Peri Available at SSRN 2796253, 2018 | 5 | 2018 |
General smile asymptotics and a multiscaling stochastic volatility model J Corbetta Universitą degli Studi di Milano-Bicocca, 2015 | 2 | 2015 |
Analytical scores for stress scenarios P Cohort, J Corbetta, I Laachir arXiv preprint arXiv:2007.02567, 2020 | | 2020 |
Sampling of probability measures in the convex order by Wasserstein projection J Corbetta, B Jourdain arXiv. org Papers, 2019 | | 2019 |
Evolution of the Wasserstein distance between the marginals of two Markov processes J Corbetta | | 2017 |