Stochastic Volatility Model with Time‐dependent Skew
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- Analytical formulas for a local volatility model with stochastic rates
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
- Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
- Modern LIBOR market models: using different curves for projecting rates and for discounting
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- Expansion formulas for European options in a local volatility model
- Mimicking an Itō process by a solution of a stochastic differential equation
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- On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
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- On improved volatility modelling by fitting skewness in ARCH models
- MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS
- Implied stopping rules for American basket options from Markovian projection
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- On dependence of volatility on return for stochastic volatility models
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