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12 months |
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Last month |
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12 months |
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A note on essential smoothness in the Heston model |
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0 |
0 |
2 |
1 |
1 |
3 |
22 |

An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients |
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0 |
0 |
2 |
1 |
1 |
5 |
25 |

Arbitrage-free SVI volatility surfaces |
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0 |
1 |
28 |
3 |
7 |
23 |
176 |

Asymptotic arbitrage in the Heston model |
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0 |
0 |
6 |
0 |
0 |
2 |
22 |

Asymptotic behaviour of the fractional Heston model |
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0 |
2 |
14 |
2 |
2 |
13 |
56 |

Asymptotic formulae for implied volatility in the Heston model |
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0 |
0 |
71 |
2 |
2 |
5 |
165 |

Asymptotic skew under stochastic volatility |
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0 |
2 |
162 |
1 |
1 |
9 |
351 |

Asymptotics of forward implied volatility |
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0 |
0 |
20 |
1 |
3 |
6 |
21 |

Black-Scholes in a CEV random environment |
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0 |
0 |
1 |
2 |
2 |
6 |
21 |

Convergence of Heston to SVI |
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1 |
30 |
0 |
1 |
4 |
107 |

From characteristic functions to implied volatility expansions |
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0 |
6 |
0 |
0 |
1 |
25 |

Functional central limit theorems for rough volatility |
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0 |
1 |
26 |
1 |
3 |
16 |
27 |

Generalised arbitrage-free SVI volatility surfaces |
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0 |
2 |
38 |
1 |
1 |
5 |
182 |

How many paths to simulate correlated Brownian motions? |
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0 |
0 |
9 |
0 |
0 |
1 |
10 |

Implied volatility in strict local martingale models |
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1 |
6 |
0 |
0 |
3 |
14 |

Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models |
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0 |
1 |
19 |
0 |
0 |
2 |
31 |

Large deviations for the extended Heston model: the large-time case |
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0 |
0 |
4 |
0 |
0 |
2 |
37 |

Large-Maturity Regimes of the Heston Forward Smile |
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0 |
2 |
0 |
0 |
0 |
12 |

Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations |
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20 |
1 |
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27 |

Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] |
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11 |
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1 |
1 |
20 |

Mass at zero in the uncorrelated SABR model and implied volatility asymptotics |
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0 |
4 |
1 |
1 |
6 |
21 |

No-arbitrage bounds for the forward smile given marginals |
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0 |
1 |
1 |
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9 |

On VIX Futures in the rough Bergomi model |
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1 |
5 |
30 |
1 |
7 |
18 |
66 |

Optimal liquidation in a Level-I limit order book for large tick stocks |
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0 |
0 |
27 |
2 |
2 |
3 |
29 |

Pathwise large deviations for the Rough Bergomi model |
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0 |
4 |
1 |
1 |
6 |
12 |

Shapes of implied volatility with positive mass at zero |
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12 |
1 |
1 |
2 |
19 |

The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature |
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1 |
1 |
35 |
1 |
1 |
8 |
26 |

The Small-Maturity Heston Forward Smile |
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1 |
1 |
1 |
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22 |

The Smile of certain L\'evy-type Models |
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0 |
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1 |
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20 |

The implied volatility of Forward-Start options: ATM short-time level, skew and curvature |
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11 |
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5 |
15 |

The implied volatility of forward starting options: ATM short-time level, skew and curvature |
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0 |
0 |
10 |
2 |
3 |
8 |
31 |

The randomised Heston model |
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0 |
0 |
13 |
0 |
1 |
9 |
23 |

Variance Dispersion and Correlation Swaps |
2 |
5 |
40 |
1,925 |
20 |
66 |
346 |
6,595 |

Variance dispersion and correlation swaps |
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0 |
3 |
42 |
2 |
2 |
15 |
127 |

Total Working Papers |
3 |
7 |
61 |
2,592 |
51 |
114 |
542 |
8,366 |