We develop a closed-form bivariate expansion of the shape characteristics of the implied
volatility surface generated by a stochastic volatility model with jumps in returns. We use the …

This paper proposes “implied stochastic volatility models” designed to fit option-implied
volatility data and implements a new estimation method for such models. The method is …

We consider the Cauchy problem associated with a general parabolic partial differential
equation in d dimensions. We find a family of closed-form asymptotic approximations for the …

In this paper, we propose two new representation formulas for the conditional marginal
probability density of the multi-factor Heston model. The two formulas express the marginal …

Multiscale stochastic volatility models have been developed as an efficient way to capture
the principal effects on derivative pricing and portfolio optimization of randomly varying …

We study the finite horizon Merton portfolio optimization problem in a general local-
stochastic volatility setting. Using model coefficient expansion techniques, we derive …

In a model driven by a multidimensional local diffusion, we study the behavior of the implied
volatility σ σ and its derivatives with respect to log-strike kk and maturity TT near expiry and …

We propose a flexible framework for hedging a contingent claim by holding static positions
in vanilla European calls, puts, bonds and forwards. A model-free expression is derived for …

The growth of the exchange‐traded fund (ETF) industry has given rise to the trading of
options written on ETFs and their leveraged counterparts (LETFs). We study the relationship …

We consider the Hull-White short rate model and provide a systematic derivation of an Arrow-
Debreu pricing formula for European-style options in closed form, applying it to cap/floor …