Victor Nistor

Department of Mathematics

Professor

Ile du Saulcy

57045 Metz, cedex 1

France

http://iecl.univ-lorraine.fr/~Victor.Nistor/index.htm

Pennsylvania State University

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Closed-Form Asymptotics for Local Volatility Models

Number of pages: 30 Posted: 12 Oct 2009 Last Revised: 23 Apr 2010
Pennsylvania State University - Department of Mathematics, Barclays Capital, Pennsylvania State University, Pennsylvania State University, University Park and Department of Mathematics
Downloads 304 (97,581)

Abstract:

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derivative pricing, local volatility models, closed form solutions, asymptotics

2.

A Volatility-of-Volatility Expansion of the Option Prices in the SABR Stochastic Volatility Model

Number of pages: 13 Posted: 03 Jan 2014 Last Revised: 06 Jan 2014
Olesya V. Grishchenko, Xiao Han and Victor Nistor
Board of Governors of the Federal Reserve System, University of Texas at Austin - Red McCombs School of Business and Department of Mathematics
Downloads 160 (181,881)

Abstract:

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SABR model, stochastic volatility, Duhamel-Dyson series, commutator method