Analysis, Geometry, and Modeling in Finance
From MaRDI portal
Black-Scholes equationdynamics of the implied volatilityheat kernel expansionlocal and stochastic volatility modelsMalliavin calculusMonte Carlo methodsoption pricingportfolio optimization
Global differential geometry (53Cxx) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60Hxx) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91Gxx)
Recommendations
Cited in
(67)- Operator trigonometry of multivariate finance
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
- Functionals of multidimensional diffusions with applications to finance
- Precise asymptotics: robust stochastic volatility models
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- Asymptotic chaos expansions in finance. Theory and practice
- The -hypergeometric stochastic volatility model
- Asymptotic approximations for pricing derivatives under mean-reverting processes
- Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
- Random dynamical systems in finance
- Equity correlations implied by index options: estimation and model uncertainty analysis
- Note on an extension of an asymptotic expansion scheme
- New analytical option pricing models with Weyl–Titchmarsh theory
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- A time series approach to option pricing. Models, methods and empirical performances
- Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion
- Functional analytic (ir-)regularity properties of SABR-type processes
- Applied conic finance
- Small-time asymptotics for basket options -- the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\)
- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
- Explicit density approximations for local volatility models using heat kernel expansions
- Heat kernel method and its applications
- scientific article; zbMATH DE number 5656751 (Why is no real title available?)
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
- Small-time asymptotics for fast mean-reverting stochastic volatility models
- Asymptotic behavior of the fractional Heston model
- Short-time at-the-money skew and rough fractional volatility
- Asymptotic implied volatility at the second order with application to the SABR model
- Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
- Asymptotic expansion approach in finance
- New approximations in local volatility models
- A Stieltjes approach to static hedges
- Quantum field theory for economics and finance
- Option pricing in the moderate deviations regime
- Correction to Black-Scholes formula due to fractional stochastic volatility
- Indifference prices and implied volatilities
- On the hedging of options on exploding exchange rates
- The large-maturity smile for the Heston model
- The small and large time implied volatilities in the minimal market model
- Asymptotics of implied volatility in local volatility models
- Proof of non-convergence of the short-maturity expansion for the SABR model
- Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Malliavin calculus in finance. Theory and practice. With a foreword by Dariusz Gatarek
- Option pricing under the fractional stochastic volatility model
- Classifying financial markets up to isomorphism
- Generalized integral transforms in mathematical finance
- Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
- Asymptotics of Forward Implied Volatility
- Analytical expansions for parabolic equations
- Explicit implied volatilities for multifactor local-stochastic volatility models
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- High-order short-time expansions for ATM option prices of exponential Lévy models
- Option pricing under fast-varying long-memory stochastic volatility
- Maximum principles for boundary-degenerate second order linear elliptic differential operators
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Matrix calculations for moments of Markov processes
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
- Approximate solutions to second-order parabolic equations: evolution systems and discretization
- Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study
- Geometric flavors of quantum field theory on a Cauchy hypersurface. I: Gaussian analysis and other mathematical aspects
- Geometric flavours of quantum field theory on a Cauchy hypersurface. II: Methods of quantization and evolution
- Explicit local volatility formula for Cheyette-type interest rate models
- New solvable stochastic volatility models for pricing volatility derivatives
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
This page was built for publication: Analysis, Geometry, and Modeling in Finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3529416)
