Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132): Difference between revisions

@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Q4745098
@@ Property / cites work: Q4745098 / rank @@
+Normal rank
@@ Property / cites work @@
+Methods de laplace et de la phase stationnaire sur l'espace de wiener
+Normal rank
@@ Property / cites work @@
+Asymptotics and calibration of local volatility models
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Mimicking an Itō process by a solution of a stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q3344779
@@ Property / cites work: Q3344779 / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian upper bounds for the heat kernels of some second-order operators on Riemannian manifolds
+Normal rank
@@ Property / cites work @@
+Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
+Normal rank
@@ Property / cites work @@
+Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
+Normal rank
@@ Property / cites work @@
+Q5557062
@@ Property / cites work: Q5557062 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3003641
@@ Property / cites work: Q3003641 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of At-The-Money Implied Volatilities to the Spot Volatility
+Normal rank
@@ Property / cites work @@
+The Small-Maturity Smile for Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
+Normal rank
@@ Property / cites work @@
+HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
+Normal rank
@@ Property / cites work @@
+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
+Normal rank
@@ Property / cites work @@
+Analysis, Geometry, and Modeling in Finance
@@ Property / cites work: Analysis, Geometry, and Modeling in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q2778802
@@ Property / cites work: Q2778802 / rank @@
+Normal rank
@@ Property / cites work @@
+Riemannian geometry and geometric analysis
@@ Property / cites work: Riemannian geometry and geometric analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Correlations and bounds for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Analytical Expansions for Parabolic Equations
@@ Property / cites work: Analytical Expansions for Parabolic Equations / rank @@
+Normal rank
@@ Property / cites work @@
+An upper bound to the spectrum of \(\Delta\) on a manifold of negative curvature
+Normal rank
@@ Property / cites work @@
+A DeWitt expansion of the heat kernel for manifolds with a boundary
+Normal rank
@@ Property / cites work @@
+Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
+Normal rank
@@ Property / cites work @@
+DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY
@@ Property / cites work: DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential functionals of Brownian motion. II: Some related diffusion processes
+Normal rank
@@ Property / cites work @@
+The small-time asymptotics of the heat kernel at the cut locus
+Normal rank
@@ Property / cites work @@
+Estimates on the Fundamental Solution to Heat Flows With Uniformly Elliptic Coefficients
+Normal rank
@@ Property / cites work @@
+Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
+Normal rank
@@ Property / cites work @@
+Expansions asymptotiques pour équations paraboliques dégénérées
+Normal rank
@@ Property / cites work @@
+Q4800025
@@ Property / cites work: Q4800025 / rank @@
+Normal rank
@@ Property / cites work @@
+Heat kernel expansion: user's manual
@@ Property / cites work: Heat kernel expansion: user's manual / rank @@
+Normal rank