Narrow search
Showing 1 - 7 of 7
Cover Image
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 18 (2011) 6, pp. 517-536
Persistent link: https://www.econbiz.de/10009798786
Cover Image
The large-maturity smile for the Heston model
Forde, Martin; Jacquier, Antoine - In: Finance and stochastics 15 (2011) 4, pp. 755-781
Persistent link: https://www.econbiz.de/10009805451
Cover Image
A note on essential smoothness in the Heston model
Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar - In: Finance and stochastics 15 (2011) 4, pp. 781-785
Persistent link: https://www.econbiz.de/10009805452
Cover Image
Correction note for ‘The large-maturity smile for the Heston model’
Bernard, Carole; Cui, Zhenyu; Forde, Martin; Jacquier, … - In: Finance and stochastics 17 (2012) 1, pp. 223-224
Persistent link: https://www.econbiz.de/10010057625
Cover Image
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 17 (2010) 3, pp. 241-260
Persistent link: https://www.econbiz.de/10008428365
Cover Image
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
Gatheral, Jim; Schied, Alexander; Slynko, Alla - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 445-475
Persistent link: https://www.econbiz.de/10009980088
Cover Image
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 591-621
Persistent link: https://www.econbiz.de/10010012280