Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
A note on essential smoothness in the Heston model
Arbitrage-free SVI volatility surfaces
Asymptotic formulae for implied volatility in the Heston model
Convergence of Heston to SVI
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
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