| Publication | Date of Publication | Type |
|---|
Large deviation principles for stochastic volatility models with reflection
Applied Mathematics and Optimization | 2023-07-06 | Paper |
| Multivariate Stochastic Volatility Models and Large Deviation Principles | 2022-03-16 | Paper |
Large deviations for fractional volatility models with non-Gaussian volatility driver
Stochastic Processes and their Applications | 2021-11-03 | Paper |
Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
Stochastic Processes and their Applications | 2021-08-05 | Paper |
Small-time asymptotics for Gaussian self-similar stochastic volatility models
Applied Mathematics and Optimization | 2020-07-17 | Paper |
Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
Stochastic Processes and their Applications | 2020-04-29 | Paper |
Short-time near-the-money skew in rough fractional volatility models
Quantitative Finance | 2019-09-26 | Paper |
Extreme-strike asymptotics for general Gaussian stochastic volatility models
Annals of Finance | 2019-06-18 | Paper |
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Quantitative Finance | 2019-02-06 | Paper |
Implied volatility of basket options at extreme strikes
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
The Gärtner-Ellis theorem, homogenization, and affine processes
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Large deviation principle for Volterra type fractional stochastic volatility models
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Distance to the line in the Heston model
Journal of Mathematical Analysis and Applications | 2017-02-14 | Paper |
On the probability of hitting the boundary for Brownian motions on the SABR plane
Electronic Communications in Probability | 2016-12-21 | Paper |
On the probability of hitting the boundary for Brownian motions on the SABR plane
Electronic Communications in Probability | 2016-12-21 | Paper |
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
The Annals of Probability | 2016-04-21 | Paper |
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
The Annals of Probability | 2016-04-21 | Paper |
Tail behavior of sums and differences of log-normal random variables
Bernoulli | 2016-02-22 | Paper |
Tail behavior of sums and differences of log-normal random variables
Bernoulli | 2016-02-22 | Paper |
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
Left-wing asymptotics of the implied volatility in the presence of atoms
International Journal of Theoretical and Applied Finance | 2015-05-11 | Paper |
The Heston Riemannian distance function
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2014-02-27 | Paper |
On refined volatility smile expansion in the Heston model
Quantitative Finance | 2013-06-27 | Paper |
| Spatial rough path lifts of stochastic convolutions | 2012-10-31 | Paper |
Two-Sided Estimates for Distribution Densities in Models with Jumps
Stochastic Differential Equations and Processes | 2012-09-21 | Paper |
Analytically tractable stochastic stock price models.
Springer Finance | 2012-07-10 | Paper |
Gustave Choquet tells about his stay in Poland after World War II
Roczniki Polskiego Towarzystwa Matematycznego. Seria II. Wiadomości Matematyczne | 2012-06-30 | Paper |
Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
International Journal of Theoretical and Applied Finance | 2012-06-25 | Paper |
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
SIAM Journal on Financial Mathematics | 2010-11-10 | Paper |
Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
Applied Mathematics and Optimization | 2010-10-07 | Paper |
Asymptotic behavior of distribution densities in models with stochastic volatility. I.
Mathematical Finance | 2010-08-03 | Paper |
IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
Mathematical Finance | 2009-08-28 | Paper |
Classes of time-dependent measures, non-homogeneous Markov processes, and Feynman-Kac propagators
Transactions of the American Mathematical Society | 2008-08-07 | Paper |
Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-12-14 | Paper |
| Non-autonomous Kato classes and Feynman--Kac propagators. | 2006-11-01 | Paper |
Feynman--Kac propagators and viscosity solutions
Journal of Evolution Equations | 2006-03-09 | Paper |
Nonautonomous Kato classes of measures and Feynman-Kac propagators
Transactions of the American Mathematical Society | 2005-07-26 | Paper |
| scientific article; zbMATH DE number 2164207 (Why is no real title available?) | 2005-05-03 | Paper |
| scientific article; zbMATH DE number 2107015 (Why is no real title available?) | 2004-10-11 | Paper |
Classes of time-dependent measures and the behavior of Feynman-Kac propagators
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2003-09-09 | Paper |
On the heat equation with a time-dependent singular potential
Journal of Functional Analysis | 2002-11-28 | Paper |
| scientific article; zbMATH DE number 1453122 (Why is no real title available?) | 2001-09-03 | Paper |
| scientific article; zbMATH DE number 1463328 (Why is no real title available?) | 2001-04-04 | Paper |
| scientific article; zbMATH DE number 1515885 (Why is no real title available?) | 2001-01-17 | Paper |
Sharp estimates in smoothing theorems for Schrödinger semigroups
Journal of Functional Analysis | 2000-05-11 | Paper |
Rearrangement-invariant spaces of functions on LCA groups
Journal of Functional Analysis | 1999-04-08 | Paper |
Rearrangements of functions on a locally compact abelian group and integrability of the Fourier transform
Journal of Functional Analysis | 1997-09-08 | Paper |
Linear Chaos in the Unforced Quantum Harmonic Oscillator
Journal of Dynamic Systems, Measurement, and Control | 1997-03-31 | Paper |
Exact smoothing properties of Schrodinger semigroups
American Journal of Mathematics | 1997-01-26 | Paper |
scientific article; zbMATH DE number 703968 (Why is no real title available?)
IMRN. International Mathematics Research Notices | 1996-04-01 | Paper |
QUASIANALYTIC FUNCTION CLASSES AND THE COMPLEX-TIME DIFFUSION GROUP - I
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 1995-07-27 | Paper |
Mean dimension of function classes with Lebesgue measurable spectral sets
Journal of Approximation Theory | 1994-01-16 | Paper |
| scientific article; zbMATH DE number 56153 (Why is no real title available?) | 1992-09-26 | Paper |
| scientific article; zbMATH DE number 8081 (Why is no real title available?) | 1992-06-25 | Paper |
Traces of functions belonging to Sovolev and Besov spaces and extensions from subsets of the Euclidean space
Journal of Soviet Mathematics | 1989-01-01 | Paper |
Traces of differential functions on subsets of the Euclidean space
Journal of Soviet Mathematics | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4032371 (Why is no real title available?) | 1987-01-01 | Paper |
Rearrangements, arrangements of signs, and convergence of sequences of operators
Journal of Soviet Mathematics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3979772 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4090110 (Why is no real title available?) | 1985-01-01 | Paper |
Multipliers on Besov spaces
Journal of Soviet Mathematics | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3899560 (Why is no real title available?) | 1984-01-01 | Paper |
Singularities of summable functions
Journal of Soviet Mathematics | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3842506 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3842505 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3800380 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3791020 (Why is no real title available?) | 1982-01-01 | Paper |
Behavior of the Fourier transform in function spaces
Functional Analysis and Its Applications | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3743826 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3734504 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3741924 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3708959 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3658518 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3753397 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3633135 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3613683 (Why is no real title available?) | 1978-01-01 | Paper |
FOURIER COEFFICIENTS OF SUMMABLE FUNCTIONS
Mathematics of the USSR-Sbornik | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3556633 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3590799 (Why is no real title available?) | 1977-01-01 | Paper |
О поведении коэффициентов Фурье равноизмеримых функций
Studia Mathematica | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3498653 (Why is no real title available?) | 1974-01-01 | Paper |
Distribution functions and trigonometric series with monotonically decreasing coefficients
Mathematical Notes | 1972-01-01 | Paper |
| scientific article; zbMATH DE number 3444162 (Why is no real title available?) | 1972-01-01 | Paper |
| scientific article; zbMATH DE number 3429477 (Why is no real title available?) | 1972-01-01 | Paper |
| scientific article; zbMATH DE number 3343971 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3353950 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3357373 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3327502 (Why is no real title available?) | 1970-01-01 | Paper |
