Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (Q5746482): Difference between revisions

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+.2462
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+Q3719555
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+Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus
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+Methods de laplace et de la phase stationnaire sur l'espace de wiener
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+Décroissance exponentielle du noyau de la chaleur sur la diagonale. I. (Exponential decay of the heat kernel over the diagonal. I)
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+Exponential decay of the heat kernel over the diagonal. II
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+Computing the implied volatility in stochastic volatility models
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+Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
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+On refined volatility smile expansion in the Heston model
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+A generalized Fernique theorem and applications
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Least action principle, heat propagation and subelliptic estimates on certain nilpotent groups
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+Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+Polynomial control systems
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+On the Asymptotics of the Transition Density of Processes with Small Diffusion
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+A remark on the asymptotic expansion of density function of Wiener functionals
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+Precise asymptotics of certain Wiener functionals
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+Q5491047
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+Diffusion processes in a small time interval
@@ Property / cites work: Diffusion processes in a small time interval / rank @@
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