Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Large deviations for the extended Heston model: the large-time case
Least Squares Importance Sampling for Libor Market Models
Libor model with expiry-wise stochastic volatility and displacement
Local time and the pricing of time-dependent barrier options
Local Volatility Pricing Models for Long-dated FX Derivatives
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions