Asymptotic analysis of stochastic stock price models is the central topic of the present
volume. Special examples of such models are stochastic volatility models, that have been …

This paper proposes the new concept of stochastic leverage in stochastic volatility models.
Stochastic leverage refers to a stochastic process which replaces the classical constant …

Under the SABR stochastic volatility model, pricing and hedging contracts that are sensitive
to forward smile risk (eg, forward starting options, barrier options) require the joint transition …

In this paper, we study the asymptotic behavior of the implied volatility in stochastic asset
price models. We provide necessary and sufficient conditions for the validity of asymptotic …

We are concerned with the valuation of European options in the Heston stochastic volatility
model with correlation. Based on Mellin transforms, we present new solutions for the price of …

This paper presents stochastic volatility in the valuation of European options. Stochastic
volatility models treat the volatility of the underlying asset as a random process rather than …

Приведены результаты проектирования и реализации программного обеспечения для
моделирования, фильтрации и интерполяции сигнала для моделей сложной …

In this thesis we establish a relationship between the Potential Approach to interest rates
and the Market Models. This relationship allows us to derive the dynamics of forward LIBOR …

This thesis studies a mathematical problem that arises in modeling the prices of option
contracts in an important part of global financial markets, the fixed income option market …

We investigate the arbitrage‐free property of stock price models where the local martingale
component is based on an ergodic diffusion with a specified stationary distribution. These …