Yasufumi Osajima

BNP Paribas

Paris

France

SCHOLARLY PAPERS

2

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Top 38,280

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CROSSREF CITATIONS

20

Scholarly Papers (2)

1.

The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model

Number of pages: 25 Posted: 26 Feb 2007
Yasufumi Osajima
BNP Paribas
Downloads 2,635 (6,560)
Citation 28

Abstract:

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stochastic volatility models, volatility smile, Malliavin calculus, asymptotic approximation, Foreign Exchange Options

2.

General Asymptotics of Wiener Functionals and Application to Mathematical Finance

Number of pages: 29 Posted: 06 Oct 2007 Last Revised: 16 Oct 2007
Yasufumi Osajima
BNP Paribas
Downloads 692 (48,953)
Citation 8

Abstract:

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Wiener functional, stochastic volatility, Hamilton equation, Malliavin calculus, Asymptotic approximation, SABR model