The Black–Scholes implied volatility skew at the money of SPX options is known to obey a
power law with respect to the time to maturity. We construct a model of the underlying asset …

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic
volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact …

We characterize the asymptotic smile and term structure of implied volatility in the Heston
model at small maturities. Using saddlepoint methods we derive a small-maturity expansion …

Asymptotic analysis of stochastic stock price models is the central topic of the present
volume. Special examples of such models are stochastic volatility models, that have been …

We consider an asset whose risk‐neutral dynamics are described by a general class of local‐
stochastic volatility models and derive a family of asymptotic expansions for European‐style …

The implied volatility surface (IVS) is a fundamental building block in computational finance.
We provide a survey of methodologies for constructing such surfaces. We also discuss …

We characterize the behavior of the Rough Heston model introduced by Jaisson and
Rosenbaum (2016, Ann. Appl. Probab., 26, 2860–2882) in the small‐time, large‐time, and …

Using the Gärtner–Ellis theorem from large deviations theory, we characterise the leading-
order behaviour of call option prices under the Heston model, in a new regime where the …

We derive the short-maturity asymptotics for European and VIX option prices in local-
stochastic volatility models where the volatility follows a continuous-path Markov process …

We present a rigorous study of the short maturity asymptotics for Asian options with
continuous-time averaging, under the assumption that the underlying asset follows a local …