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1. On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N.
   In: Papers.
   RePEc:arx:papers:2402.16509.

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2. Subleading correction to the Asian options volatility in the Black-Scholes model. (2024). Pirjol, Dan.
   In: Papers.
   RePEc:arx:papers:2407.05142.

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3. Short-time asymptotics for non self-similar stochastic volatility models. (2023). Pigato, Paolo ; Giorgio, Giacomo ; Pacchiarotti, Barbara.
   In: Papers.
   RePEc:arx:papers:2204.10103.

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4. Probability Density of Lognormal Fractional SABR Model. (2022). Akahori, Jiro ; Song, Xiaoming ; Wang, Tai-Ho.
   In: Risks.
   RePEc:gam:jrisks:v:10:y:2022:i:8:p:156-:d:878430.

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5. Large and moderate deviations for stochastic Volterra systems. (2022). Jacquier, Antoine ; Pannier, Alexandre.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:149:y:2022:i:c:p:142-187.

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6. Large and moderate deviations for stochastic Volterra systems. (2022). Jacquier, Antoine ; Pannier, Alexandre.
   In: Papers.
   RePEc:arx:papers:2004.10571.

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7. A theoretical analysis of Guyons toy volatility model. (2022). Lacombe, Chloe ; Jacquier, Antoine.
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   RePEc:arx:papers:2001.05248.

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8. Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Ait-Sahalia, Yacine ; Xu, Chen.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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9. Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model. (2021). Gerhold, Stefan ; Forde, Martin ; Smith, Benjamin.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:31:y:2021:i:1:p:203-241.

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10. Short dated smile under Rough Volatility: asymptotics and numerics. (2021). Pigato, Paolo ; Friz, Peter K ; Gassiat, Paul.
    In: Papers.
    RePEc:arx:papers:2009.08814.

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11. Asymptotics for rough stochastic volatility models. (2021). Forde, Martin ; Zhang, Hongzhong.
    In: Papers.
    RePEc:arx:papers:1610.08878.

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12. EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE. (2020). van der Hoeven, Joris ; Grunspan, Cyril.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500132.

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13. Effective asymptotic analysis for finance. (2020). Grunspan, Cyril ; van der Hoeven, Joris.
    In: Post-Print.
    RePEc:hal:journl:hal-01573621.

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14. Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions. (2020). Gulisashvili, Archil.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:130:y:2020:i:6:p:3648-3686.

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15. Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface. (2020). Zhu, Lingjiong ; Pirjol, Dan.
    In: Papers.
    RePEc:arx:papers:2001.09850.

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16. Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model. (2020). Gerhold, Stefan ; Forde, Martin ; Smith, Benjamin.
    In: Papers.
    RePEc:arx:papers:1906.09034.

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17. Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions. (2019). Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:1808.00421.

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18. An exact and explicit implied volatility inversion formula. (2018). Cui, Zhenyu ; Xia, Yuxuan.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329.

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19. The asymptotic smile of a multiscaling stochastic volatility model. (2018). Corbetta, Jacopo ; Caravenna, Francesco.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071.

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20. Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine.
    In: Papers.
    RePEc:arx:papers:1808.03548.

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21. Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:1710.10711.

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22. Pathwise large deviations for the Rough Bergomi model. (2018). Jacquier, Antoine ; Pakkanen, Mikko S ; Stone, Henry.
    In: Papers.
    RePEc:arx:papers:1706.05291.

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23. Short-time near-the-money skew in rough fractional volatility models. (2018). Friz, Peter K ; Bayer, Christian ; Horvath, Blanka ; Stemper, Benjamin ; Gulisashvili, Archil.
    In: Papers.
    RePEc:arx:papers:1703.05132.

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

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25. AN EXPLICIT IMPLIED VOLATILITY FORMULA. (2017). Radoii, Rado ; Stefanica, Dan.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500480.

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26. The exact Taylor formula of the implied volatility. (2017). Pascucci, Andrea ; Pagliarani, Stefano.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x.

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27. Effective asymptotic analysis for finance. (2017). van der Hoeven, Joris ; Grunspan, Cyril.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01573621.

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28. Short Maturity Asian Options for the CEV Model. (2017). Zhu, Lingjiong ; Pirjol, Dan.
    In: Papers.
    RePEc:arx:papers:1702.03382.

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

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30. The asymptotic smile of a multiscaling stochastic volatility model. (2017). Corbetta, Jacopo ; Caravenna, Francesco.
    In: Papers.
    RePEc:arx:papers:1501.03387.

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31. GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING. (2016). Yamazaki, Akira.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s0219024916500242.

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32. A sharp approximation for ATM-forward option prices and implied volatilites. (2016). Radoii, Rado ; Stefanica, Dan.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:03:y:2016:i:01:n:s242478631650002x.

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33. Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. (2016). Olafsson, Sveinn ; Figueroa-Lopez, Jose E.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0313-3.

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34. Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. (2016). Olafsson, Sveinn ; Figueroa-Lopez, Jose .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:1:p:219-265.

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35. Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. (2016). Olafsson, Sveinn ; Figueroa-Lopez, Jose E.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0281-z.

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36. 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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37. Short Maturity Asian Options in Local Volatility Models. (2016). Zhu, Lingjiong ; Pirjol, Dan.
    In: Papers.
    RePEc:arx:papers:1609.07559.

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38. 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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39. Uniform bounds for Black--Scholes implied volatility. (2016). Tehranchi, Michael R.
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    RePEc:arx:papers:1512.06812.

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40. General smile asymptotics with bounded maturity. (2016). Corbetta, Jacopo ; Caravenna, Francesco.
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    RePEc:arx:papers:1411.1624.

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41. Short maturity options for Azéma–Yor martingales. (2015). Zhu, Lingjiong.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:02:y:2015:i:04:n:s2424786315500528.

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

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43. Large Deviations for the Extended Heston Model: The Large-Time Case. (2014). Jacquier, Antoine ; Mijatovi, Aleksandar.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:21:y:2014:i:3:p:263-280.

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44. The large-maturity smile for the Stein–Stein model. (2014). Forde, Martin.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:91:y:2014:i:c:p:145-152.

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45. The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi.
    In: Research Paper Series.
    RePEc:uts:rpaper:297.

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46. The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi.
    In: Papers.
    RePEc:arx:papers:1109.6154.

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