scientific article; zbMATH DE number 1517499
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- Large deviations for some fast stochastic volatility models by viscosity methods
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- scientific article; zbMATH DE number 1642341 (Why is no real title available?)
- A generic decomposition formula for pricing vanilla options under stochastic volatility models
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- Default risk in interest rate derivatives with stochastic volatility
- Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Risk adjustments of option prices under time-changed dynamics
- Stochastic volatility for interest rate derivatives
- Multiplicative noise, fast convolution and pricing
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
- Asymptotic expansions for solutions of systems of Kolmogorov backward equations of two-time-scale switching jump diffusions
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- Analytical formulas for a local volatility model with stochastic rates
- Two-Sided Estimates for Distribution Densities in Models with Jumps
- American Option Valuation with Particle Filters
- Calibration of Stock Betas from Skews of Implied Volatilities
- An ε-Optimal Portfolio with Stochastic Volatility
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
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