Palaiseau Cedex, 91128
France
École Polytechnique, Paris - Centre de Mathematiques Appliquees
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asymptotic expansion, Malliavin calculus, small volatility of volatility, time dependent Heston model
local volatility model, European options, asymptotic expansion, Malliavin calculus, small diffusion process, CEV model
asymptotic expansion, local volatility model, HJM framework, Hull and White model, Malliavin calculus, small diffusion process, CEV model
asymptotic expansion, Malliavin calculus, volatility skew and smile, small diffusion process, small jump frequency/size
hedging strategies, fractional regularity, L2 convergence
Local volatility model, European option, asymptotic expansion, CEV model
equity option, discrete dividend, stochastic approximation, analytic formula
Nonlinear SDE in the McKean sense, small time/noise approximations, interacting random processes, nonlinear parabolic equations
backward stochastic differential equation, asymptotic expansion
