EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408): Difference between revisions

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+Moment explosions in stochastic volatility models
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+Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
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+Time Dependent Heston Model
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+Analytical formulas for a local volatility model with stochastic rates
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+Computing the implied volatility in stochastic volatility models
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+Options on realized variance by transform methods: a non-affine stochastic volatility model
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Local volatility in the Heston model: a Malliavin calculus approach
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+SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
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+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
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+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
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+Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+Q5520962
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+How to make Dupire’s local volatility work with jumps
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+Asymptotics of implied volatility to arbitrary order
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Equivalent Black volatilities
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+Analysis, Geometry, and Modeling in Finance
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+The Smile of Certain Lévy-Type Models
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+From characteristic functions to implied volatility expansions
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+The Curious History of Faa di Bruno's Formula
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+The exact smile of certain local volatility models
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+Analytical Expansions for Parabolic Equations
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+A family of density expansions for Lévy-type processes
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+Analytical approximation of the transition density in a local volatility model
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+Expansions asymptotiques pour équations paraboliques dégénérées
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+Adjoint Expansions in Local Lévy Models
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+PDE and martingale methods in option pricing.
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+Derivatives of composite functions
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+ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
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+Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
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