A General Asymptotic Implied Volatility for Stochastic Volatility Models
In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the
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Option Pricing and Hedging with Temporal Correlations
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation
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The coplanarity of planetary orbits places bounds on dynamical aether
OBITUARY The Article and we have been friends for more than half a year. With it, we shared many experiences,
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The skewed multifractal random walk with applications to option smiles
We generalize the construction of the multifractal random walk (MRW) due to Bacry, Delour and Muzy to take into account
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