On the Harmonic Mean Representation of the Implied Volatility. - Marco, Stefano De (SIAM J. Financial Math., 2021)

Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. - Bourgey, Florian; Marco, Stefano De; Gobet, Emmanuel; Zhou, Alexandre (Monte Carlo Methods Appl., 2020)

Study of new rare event simulation schemes and their application to extreme scenario generation. - Agarwal, Ankush; Marco, Stefano De; Gobet, Emmanuel; Liu, Gang (Math. Comput. Simul., 2018)

Local Volatility, Conditioned Diffusions, and Varadhan's Formula. - Marco, Stefano De; Friz, Peter K. (SIAM J. Financial Math., 2018)

Shapes of Implied Volatility with Positive Mass at Zero. - Marco, Stefano De; Hillairet, Caroline; Jacquier, Antoine (SIAM J. Financial Math., 2017)

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem. - Marco, Stefano De; Henry-Labordère, Pierre (SIAM J. Financial Math., 2015)

Assessing a Measurement Model for Digital Political Participation: A Multidisciplinary Point of View. - Marco, Stefano De; Antino, Mirko; Morales, José Manuel Robles (2012)

Some estimates in extended stochastic volatility models of Heston type. - Bally, Vlad; Marco, Stefano De (Risk Decis. Anal., 2011)