South Kensington Campus
London SW7 2AZ, SW7 2AZ
Imperial College London - Department of Mathematics
Fractional Heston model, Asymptotics, Implied Volatility
forward smile, forward-start options, large deviations, diagonal small-maturity asymptotics, large-maturity asymptotics
volatility asymptotics, random environment, forward smile, large deviations
forward smile, forward-start options, large deviations, small-maturity asymptotics, Heston model
Heston model, Sharp large deviations, Freidlin-Wentzell
Stochastic volatility, Heston, forward implied volatility, asymptotic expansion, sharp large deviations.
Optimal transport, forward smile, linear programme
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