SS
Simone Scotti
math.PRq-fin.PRq-fin.MFmath.OCcs.LGExponential affine processesHawkes processesImplied volatility for VIX optionsJump clustersLeverage effect
On Valency
published · living versionsW_dxnq6h2u·v1 · currentpublished
Preprints & journals
13 papers in the corpus · 2007–2026Adaptive Learning via Off-Model Training and Importance Sampling for Fully Non-Markovian Optimal Stochastic Control. Complete version2604.13147v2 · Dorival Leao, Alberto Ohashi, Simone Scotti et al.2026 · 0 citationsarXiv
The Design of Optimal Re-Insurance Contracts when Losses are Clustered2508.02624v2 · Guillaume Bernis, Cristina Di Girolami, Simone Scotti2025 · 0 citationsarXiv
Dam Management in the Era of Climate Change2508.02636v2 · Cristina Di Girolami, M'hamed Gaigi, Vathana Ly Vath et al.2025 · 0 citationsarXiv
The rough Hawkes Heston stochastic volatility model2210.12393v1 · Alessandro Bondi, Sergio Pulido, Simone Scotti2022 · 25 citationsarXiv
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process.38624584 · Bernis, Guillaume, Brignone, Riccardo, Scotti, Simone et al.2024 · 32 citationsMathematics and financial economics. 2021;15(4):747-773
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data2004.04015v1 · Maria Elvira Mancino, Simone Scotti, Giacomo Toscano2020 · 4 citationsarXiv
The Alpha-Heston Stochastic Volatility Model1812.01914v1 · Ying Jiao, Chunhua Ma, Simone Scotti et al.2018 · 35 citationsarXiv
Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling1602.05541v2 · Ying Jiao (ISFA), Chunhua Ma, Simone Scotti (LPMA)2016 · 0 citationsarXiv
Asset Pricing under uncertainty1203.5664v1 · Simone Scotti (LPMA)2012 · 0 citationsarXiv
The impact of uncertainties on the pricing of contingent claims1001.5202v1 · Simone Scotti2010 · 0 citationsarXiv
Perturbative Approach on Financial Markets0806.0287v1 · Simone Scotti2008 · 3 citationsarXiv
Risk Premium Impact in the Perturbative Black Scholes Model0806.0307v1 · Luca Regis, Simone Scotti2008 · 1 citationarXiv
Errors Theory using Dirichlet Forms, Linear Partial Differential Equations and Wavelets0708.1073v2 · Simone Scotti2007 · 1 citationarXiv
Career total: 50 works. 13 are in this corpus.
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