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   RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0197-5.

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2. Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick .
   In: Papers.
   RePEc:arx:papers:1503.08082.

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1. Stationary covariance regime for affine stochastic covariance models in Hilbert spaces. (2024). Friesen, Martin ; Karbach, Sven.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00543-3.

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2. The randomised Heston model. (2018). Jacquier, Antoine ; Shi, Fangwei.
   In: Papers.
   RePEc:arx:papers:1608.07158.

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3. Weighted average price in the Heston stochastic volatility model. (2017). Papi, M ; Pontecorvi, L ; Donatucci, C.
   In: Decisions in Economics and Finance.
   RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0197-5.

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4. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge ; Alos, Elisa.
   In: Papers.
   RePEc:arx:papers:1710.11232.

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5. Short Maturity Forward Start Asian Options in Local Volatility Models. (2017). Zhu, Lingjiong ; Wang, Jing ; Pirjol, Dan.
   In: Papers.
   RePEc:arx:papers:1710.03160.

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6. Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick .
   In: Papers.
   RePEc:arx:papers:1503.08082.

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7. Asymptotic behaviour of the fractional Heston model. (2017). Jacquier, Antoine ; Roome, Patrick ; Guennoun, Hamza .
   In: Papers.
   RePEc:arx:papers:1411.7653.

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8. Large-maturity regimes of the Heston forward smile. (2016). Jacquier, Antoine ; Roome, Patrick .
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:126:y:2016:i:4:p:1087-1123.

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9. Uncertainty Estimates in the Heston Model via Fisher Information. (2016). Pfante, Oliver ; Bertschinger, Nils.
   In: Papers.
   RePEc:arx:papers:1610.04760.

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10. The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu.
    In: Papers.
    RePEc:arx:papers:1609.02108.

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11. Option Pricing in the Moderate Deviations Regime. (2016). Gerhold, Stefan ; Friz, Peter ; Pinter, Arpad.
    In: Papers.
    RePEc:arx:papers:1604.01281.

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12. Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil.
    In: Papers.
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13. Small-maturity asymptotics for the at-the-money implied volatility slope in L\evy models. (2016). Gerhold, Stefan ; Gulum, Ismail Cetin.
    In: Papers.
    RePEc:arx:papers:1310.3061.

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14. Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\evy jumps. (2015). Sveinn 'Olafsson, ; Jos'e E. Figueroa-L'opez, .
    In: Papers.
    RePEc:arx:papers:1502.02595.

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15. Short-time at-the-money skew and rough fractional volatility. (2015). Fukasawa, Masaaki.
    In: Papers.
    RePEc:arx:papers:1501.06980.

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16. Large-Maturity Regimes of the Heston Forward Smile. (2015). Jacquier, Antoine ; Roome, Patrick .
    In: Papers.
    RePEc:arx:papers:1410.7206.

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17. The large-maturity smile for the Stein–Stein model. (2014). Forde, Martin.
    In: Statistics & Probability Letters.
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18. Distance to the line in the Heston model. (2014). Gulisashvili, Archil.
    In: Papers.
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19. The G\{a}rtner-Ellis theorem, homogenization, and affine processes. (2014). Teichmann, Josef ; Gulisashvili, Archil.
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20. Implied volatility of basket options at extreme strikes. (2014). TANKOV, PETER ; Gulisashvili, Archil.
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    RePEc:arx:papers:1406.0394.

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21. Short-time expansions for close-to-the-money options under a L\evy jump model with stochastic volatility. (2014). Sveinn 'Olafsson, ; Jos'e E. Figueroa-L'opez, .
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    In: International Journal of Theoretical and Applied Finance (IJTAF).
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    In: International Journal of Theoretical and Applied Finance (IJTAF).
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    In: Papers.
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