Pages that link to "Item:Q5746482"
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The following pages link to Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (Q5746482):
Displayed 29 items.
- Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation (Q330697) (← links)
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- Distance to the line in the Heston model (Q511233) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- Curvature terms in small time heat kernel expansion for a model class of hypoelliptic Hörmander operators (Q1675413) (← links)
- Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
- Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
- Symmetries and zero modes in sample path large deviations (Q2679555) (← links)
- Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
- FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES (Q2986668) (← links)
- General Asymptotics of Wiener Functionals and Application to Implied Volatilities (Q4560330) (← links)
- Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) (← links)
- Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- On the Probability Density Function of Baskets (Q4560341) (← links)
- On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (Q4560342) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- Option pricing in the moderate deviations regime (Q4581294) (← links)
- Pathwise large deviations for the rough Bergomi model (Q4611271) (← links)
- ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
- Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
- Short-time near-the-money skew in rough fractional volatility models (Q5234338) (← links)
- SHORT TIME FULL ASYMPTOTIC EXPANSION OF HYPOELLIPTIC HEAT KERNEL AT THE CUT LOCUS (Q5280254) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems (Q6089193) (← links)
- SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES (Q6123018) (← links)