papers
Publications (6)
q-fin.PR2016
General smile asymptotics with bounded maturity
Francesco Caravenna, Jacopo Corbetta
math.PR2019
Sampling of probability measures in the convex order by Wasserstein projection
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
q-fin.RM2017
Backtesting Lambda Value at Risk
Jacopo Corbetta, Ilaria Peri
math.PR2016
Evolution of the Wasserstein distance between the marginals of two Markov processes
Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain
q-fin.CP2019
Robust calibration and arbitrage-free interpolation of SSVI slices
Pierre Cohort, Jacopo Corbetta, Claude Martini +1
math.PR2017
The asymptotic smile of a multiscaling stochastic volatility model
Francesco Caravenna, Jacopo Corbetta