Stefano De Marco

Ecole Polytechnique

Stefano De Marco is Associate Professor in Probability and Mathematical Finance at Ecole Polytechnique, Paris. He owns a PhD in applied mathematics from Scuola Normale Superiore di Pisa and Université Paris-Est. He is a member of the steering committee of the Chaire Stress Test, a joint research project between Ecole Polytechnique and BNP Paribas, and he has taken part in the works of the Chaire Risques Financiers, a joint research project between Ecole Polytechnique and Société Générale. His research focuses on risk management problems for options, volatility modeling and Monte Carlo methods.

Articles by Stefano De Marco

Original research

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model

The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.

27 Sep 2022

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