Economy – Quantitative Finance – Pricing of Securities
A note on essential smoothness in the Heston model
Asymptotic formulae for implied volatility in the Heston model
Tail asymptotics for diffusion processes, with applications to local volatility and CEV-Heston models
The small-maturity smile for exponential Levy models
The small-time behaviour of diffusion and time-changed diffusion processes on the line
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