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Smile Dynamics IV
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Smile Dynamics IV (2009)Smile Dynamics IVFunctional central limit theorems for rough volatility (2024)Functional central limit theo…Volatility has to be rough (2020)Volatility has to be roughLifting the Heston model (2019)Lifting the Heston modelVolatility Options in Rough Volatility Models (2018)Volatility Options in Rough V…Smoothing properties of McKean–Vlasov SDEs (2017)Smoothing properties of McKea…Short-time at-the-money skew and rough fractional volatility (2016)Short-time at-the-money skew …Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (2015)Linking Vanillas and VIX Opti…A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations (2015)A cubature based algorithm to…Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (2014)Consistent Modelling of VIX a…AUTOMATED OPTION PRICING: NUMERICAL METHODS (2013)AUTOMATED OPTION PRICING: NUM…The Smile Calibration Problem Solved (2011)The Smile Calibration Problem…Implied Volatility Surface: Construction Methodologies and Characteristics (2011)Implied Volatility Surface: C…A Consistent Pricing Model for Index Options and Volatility Derivatives (2010)A Consistent Pricing Model fo…VIX option pricing (2009)VIX option pricingConsistent Modeling of SPX and VIX options (2008)Consistent Modeling of SPX an…Volatility Markets: Consistent Modeling, Hedging and Practical Implementation (2006)Volatility Markets: Consisten…Derivatives in Financial Markets with Stochastic Volatility (2000)Introduction to Stochastic Calculus Applied to Finance (2011)Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (2016)Asymptotics for Rough Stochastic Volatility Models (2017)Volatility Is Rough (2018)Estimating Spot Volatility with High-Frequency Financial Data (2022)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Brownian Motion and Stochastic Calculus (2007)Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017)Modelling the volatility of crude oil returns: Jumps and volatility forecasts (2020)Volatility Is (Mostly) Path-Dependent (2022)Expected stock returns and volatility (1987)Consistent modeling of S&P 500 and VIX derivatives (2010)The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index (2011)Smiling twice: The Heston++ model (2018)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model (2011)Arbitrage-free implied volatility surfaces for options on single stock futures (2013)Financial Modelling with Jump Processes (2003)The Joint S&P 500/VIX Smile Calibration Puzzle Solved (2019)Inversion of convex ordering in the VIX market (2020)Maximum likelihood estimation of stochastic volatility models (2006)The Volatility Surface: A Practitioner's Guide (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Joint pricing of VIX and SPX options with stochastic volatility and jump models (2015)A martingale approach for fractional Brownian motions and related path dependent PDEs (2019)Stochastic Integration and Differential Equations (2005)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean field games (2007)Bismut formula for Lions derivative of distribution dependent SDEs and applications (2019)Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients (2021)Weak quantitative propagation of chaos via differential calculus on the space of measures (2022)Fractional Brownian Motions, Fractional Noises and Applications (1968)Affine processes and applications in finance (2003)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)The Finite Moment Log Stable Process and Option Pricing (2003)Pricing under rough volatility (2015)Short-dated smile under rough volatility: asymptotics and numerics (2021)The characteristic function of Gaussian stochastic volatility models: an analytic expression (2022)From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation (2021)Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Forecasting with fractional Brownian motion: a financial perspective (2022)
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  • 2016Short-time at-the-money skew and rough fractional volatility96 cited
  • 2019Lifting the Heston model86 cited
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  • 2018Volatility Options in Rough Volatility Models49 cited
  • 2010A Consistent Pricing Model for Index Options and Volatility Derivatives48 cited
  • 2024Functional central limit theorems for rough volatility46 cited
  • 2013AUTOMATED OPTION PRICING: NUMERICAL METHODS43 cited
  • 2011The Smile Calibration Problem Solved41 cited
  • 2015Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem37 cited
  • 2015A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations33 cited

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  • 2006Volatility Markets: Consistent Modeling, Hedging and Practical Implementation29 cited