Smiles \& smirks: volatility and leverage by jumps (Q2076900): Difference between revisions

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+Closed-form implied volatility surfaces for stochastic volatility models with jumps
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+Multivariate FX models with jumps: triangles, quantos and implied correlation
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+Integrated structural approach to credit value adjustment
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+The Pricing of Options and Corporate Liabilities
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+Quantization meets Fourier: a new technology for pricing options
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+Stochastic Volatility for Lévy Processes
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+SELF-DECOMPOSABILITY AND OPTION PRICING
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+LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+An investigation of model risk in a market with jumps and stochastic volatility
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+A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
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+A general framework for time-changed Markov processes and applications
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+Analysis of Fourier Transform Valuation Formulas and Applications
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Heston stochastic vol-of-vol model for joint calibration of VIX and S&amp;P 500 options
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+Arbitrage-free SVI volatility surfaces
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+VIX derivatives, hedging and vol-of-vol risk
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+PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
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+Exponential families of stochastic processes
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+Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
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+The Variance Gamma Process and Option Pricing
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+Option pricing when underlying stock returns are discontinuous
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+Variance swap with mean reversion, multifactor stochastic volatility and jumps
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+Q5480578
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