It has been recently shown that rough volatility models, where the volatility is driven by a
fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in …

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 …

Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic
volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact …

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 …

We consider an asset whose risk‐neutral dynamics are described by a general class of local‐
stochastic volatility models and derive a family of asymptotic expansions for European‐style …

The implied volatility surface (IVS) is a fundamental building block in computational finance.
We provide a survey of methodologies for constructing such surfaces. We also discuss …

We present a new methodology to analyze large classes of (classical and rough) stochastic
volatility models, with special regard to short-time and small noise formulae for option prices …

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 seek a closed-form series approximation of European option prices under a variety of
diffusion models. The proposed convergent series are derived using the Hermite polynomial …