Corbetta, Jacopo

1. Sampling of probability measures in the convex order by Wasserstein projection
   2017/09/15 by Aurélien Alfonsi, Alfonsi, Aurélien, Jacopo Corbetta +3 · 4 citations
   Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60E15 #60G42 #90C08 #91G60 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Point processes and geometric inequalities #Probability (math.PR) #Risk and Portfolio Optimization #math.PR #msc:60E15 #msc:60G42 #msc:90C08 #msc:91G60 #q-fin.CP
2. Backtesting Lambda Value at Risk
   2016/02/24 by Jacopo Corbetta, Ilaria Peri, Corbetta, Jacopo +1 · 3 citations
   Economics, Econometrics and Finance · #91G70 #FOS: Economics and business #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST) #msc:91G70 #q-fin.RM #q-fin.ST
3. Robust calibration and arbitrage-free interpolation of SSVI slices
   2018/04/13 by Pierre Cohort, Cohort, Pierre, Jacopo Corbetta +5 · 1 citation
   Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #msc:91G60 #q-fin.CP #q-fin.MF #q-fin.PR