Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844): Difference between revisions

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+MaRDI publication profile
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+Continuity of optimal control costs and its application to weak KAM theory
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+Computing the implied volatility in stochastic volatility models
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+Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
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+Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
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+On the Probability Density Function of Baskets
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+Extrapolation Analytics for Dupire’s Local Volatility
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+On refined volatility smile expansion in the Heston model
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION
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+Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
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+Analytically tractable stochastic stock price models.
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+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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+A remark on the asymptotic expansion of density function of Wiener functionals
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+Intégration dans la fibre associée a une diffusion dégénérée. (Integration in a fiber associated to a degenerated diffusion)
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+Majoration en temps petit de la densité d'une diffusion dégénérée
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+Minoration en temps petit de la densité d'une diffusion dégénérée. (Lower estimate for small times of the density of a degenerate diffusion)
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY
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+The Malliavin Calculus and Related Topics
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+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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+Diffusion processes in a small time interval
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+https://doi.org/10.1137/16m1092313
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+W2810381742
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