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Universal Smiles
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Universal Smiles (2016)Universal SmilesCalibration of the Heston stochastic local volatility model: A finite volume scheme (2021)Calibration of the Heston sto…Asymptotics of Implied Volatility to Arbitrary Order (2011)Asymptotics of Implied Volati…THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL (2010)THE JOINT DISTRIBUTION OF STO…A LIBOR Market Model with Stochastic Basis (2010)A LIBOR Market Model with Sto…Fitting the Smile, Smart Parameters for SABR and Heston (2009)Fitting the Smile, Smart Para…Stochastic Local Volatility (2008)Stochastic Local VolatilityThe Pricing of Options and Corporate Liabilities (1973)Why Does Stock Market Volatility Change Over Time? (1989)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Calibrating and Pricing with a Stochastic-Local Volatility Model (2015)The Variance Gamma Process and Option Pricing (1998)Implied Volatility Surface: Construction Methodologies and Characteristics (2011)ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (2013)Implied Stochastic Volatility Models (2020)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Empirical properties of asset returns: stylized facts and statistical issues (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)A nested factor model for non-linear dependencies in stock returns (2015)Robust normal mixtures for financial portfolio allocation (2017)IMPORT SUBSTITUTION AS A KEY FACTOR IN STRENGTHENING THE SOVEREIGNTY AND ECONOMIC SECURITY OF MODERN RUSSIA (2022)Option valuation using the fast Fourier transform (1999)Asymptotic Implied Volatility at the Second Order with Application to the SABR Model (2015)The Pricing of Options on Assets with Stochastic Volatilities (1987)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)The Impact of Collateralization on Swap Rates (2007)Interest Rates and The Credit Crunch: New Formulas and Market Models (2009)Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR (2011)A General HJM Framework for Multiple Yield Curve Modeling (2014)Affine multiple yield curve models (2018)
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  • 2011Asymptotics of Implied Volatility to Arbitrary Order63 cited
  • 2010THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL59 cited
  • 2008Stochastic Local Volatility47 cited
  • 2010A LIBOR Market Model with Stochastic Basis42 cited
  • 2021Calibration of the Heston stochastic local volatility model: A finite volume scheme27 cited
  • 2009Fitting the Smile, Smart Parameters for SABR and Heston24 cited

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