Claude Martini

Zeliade Systems

PhD in applied mathematics, INRIA researcher (on leave), Claude is the CEO of Zeliade Systems. Claude started his career as Quant at Société Générale on Equity derivatives during 4 years and then moved to academia where he co-created the MATHFI project at INRIA, which was the first project focused on mathematical finance at INRIA, and the PREMIA pricing library, in 1998. Claude then created Zeliade Systems in 2003. Claude has established over the years a very dense network of clients in investment banks, hedge funds and CCPs, and of academic partners. Claude is invited on a regular basis in the best research teams in mathematical finance in academia and talks in prestigious seminars worldwide. His fields of expertise include volatility models, calibration, model risk and uncertainty, and margin models. Claude has acted as board member of the MIDO council at PSL Dauphine University, member of the scientific council of the PANORISK project, and member of the advisory board of the MSc in Mathematics and Finance at Imperial College London.

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Articles by Claude Martini

The extended SSVI volatility surface

This paper extends Gatheral and Jacquier’s surface stochastic volatility-inspired (SSVI) parameterization by making the correlation maturity dependent and obtaining the necessary and sufficient conditions for no calendar-spread arbitrage.

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