One Bernard Baruch Way
New York, NY 10010
United States
CUNY Baruch College
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Implied Volatility, Black-Scholes Model, Approximation Formula, Uniform Bounds
Implied Volatility, Polya Approximation, Bisection Method
Rough Heston Model, Padé Approximant, Rational Approximation, Volatility Smile, Leverage Swap
Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility
Implied Volatility, Partial Differential Equations, Numerical Approximation, Black-Scholes Model, Bachelier Model
Standard Normal CDF, Numerical Approximation
implied volatility, Black-Scholes model, ATM-forward options
Implied Volatility, Black-Scholes Model, ATM-Forward Options
Zumbach Effect, Rough Heston Model
forests, trees, continuous martingales, diamond product, cumulants, mo- ments, Hermite polynomials, regular perturbation, KPZ type (Wild) expansion, trees, Le ́vy area, Wiener chaos, Heston and forward variance models;
Rough Heston Model, Padé Approximant, Rational Approximation, Volatility Smile, Mittag-Leffler