The rough Bergomi model introduced by Bayer et al.[Quant. Finance, 2015, 1–18] has been
outperforming conventional Markovian stochastic volatility models by reproducing implied …

A small-time Edgeworth expansion of the density of an asset price is given under a general
stochastic volatility model, from which asymptotic expansions of put option prices and at-the …

We use the Itô Decomposition Formula (see Alòs [A decomposition formula for option prices
in the Heston model and applications to option pricing approximation. Finance Stoch., 2012 …

We fully characterize the absence of butterfly arbitrage in the stochastic volatility inspired
(SVI) formula for implied total variance proposed by Gatheral in 2004. The main ingredient is …

This article describes a global and arbitrage-free parametrization of the eSSVI implied
volatility surfaces introduced by Hendriks and Martini [The extended SSVI volatility surface …

We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional
Brownian motion, with random starting points. Different scalings allow for different …

We propose a new method for approximating the expected quadratic variation of an asset
based on its option prices. The quadratic variation of an asset price is often regarded as a …

The goal of this paper is to investigate the method outlined by one of us (PR) in Cherubini,
U., Della Lunga, G., Mulinacci, S. and Rossi, P.[Fourier Transform Methods in Finance, 2009 …

Fukasawa introduced in Fukasawa [The normalizing transformation of the implied volatility
smile. Math. Finance, 2012, 22 (4), 753–762] two necessary conditions for no butterfly …

We devise a novel method for implied volatility smoothing based on neural operators. The
goal of implied volatility smoothing is to construct a smooth surface that links the collection of …