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1. Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model. (2025). Bur, Oscar ; Vives, Josep ; Alos, Elisa.
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2. On the implied volatility of Inverse options under stochastic volatility models. (2025). Pravosud, Makar ; Nualart, Eula Lia ; Alos, Elisa.
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3. The rough Hawkes Heston stochastic volatility model. (2024). Pulido, Sergio ; Bondi, Alessandro ; Scotti, Simone.
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4. Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model. (2024). Kim, See-Woo.
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5. On the implied volatility of Asian options under stochastic volatility models. (2024). Pravosud, Makar ; Nualart, Eula Lia ; Alos, Elisa.
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6. Functional quantization of rough volatility and applications to volatility derivatives. (2024). Bonesini, Ofelia ; Callegaro, Giorgia ; Jacquier, Antoine.
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7. A lower bound for the volatility swap in the lognormal SABR model. (2023). Shiraya, K ; Rolloos, F ; Alos, E.
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8. Rough multifactor volatility for SPX and VIX options. (2023). Jacquier, Antoine ; Pannier, Alexandre ; Muguruza, Aitor.
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9. Functional central limit theorems for rough volatility. (2023). Jacquier, Antoine ; Horvath, Blanka ; Muguruza, Aitor.
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10. The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro.
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11. The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro.
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12. CVA in fractional and rough volatility models. (2022). Scarlatti, Sergio ; Antonelli, Fabio ; Alos, Elisa ; Ramponi, Alessandro.
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13. Influence of risk tolerance on long-term investments: A Malliavin calculus approach. (2021). Park, Hyungbin.
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14. Asymptotics for rough stochastic volatility models. (2021). Forde, Martin ; Zhang, Hongzhong.
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15. On the harmonic mean representation of the implied volatility. (2020). de Marco, Stefano.
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16. Volatility has to be rough. (2020). Fukasawa, Masaaki.
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17. On the uniqueness of solutions of stochastic Volterra equations. (2020). Jacquier, Antoine ; Pannier, Alexandre.
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18. On the difference between the volatility swap strike and the zero vanna implied volatility. (2020). Shiraya, Kenichiro ; Rolloos, Frido ; Alos, Elisa.
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19. Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model. (2020). Tempone, Raul ; Bayer, Christian ; ben Hammouda, Chiheb.
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20. Precise asymptotics: robust stochastic volatility models. (2020). Pigato, Paolo ; Friz, Peter K ; Gassiat, Paul.
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21. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. (2019). Shiraya, Kenichiro ; Alos, Elisa.
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22. The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework. (2019). Pagliarani, Stefano ; Nicolato, Elisa ; Barletta, Andrea.
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23. Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa.
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24. Decomposition formula for jump diffusion models. (2019). Sobotka, Tom'Avs ; Merino, Raul ; Vives, Josep ; Posp, Jan.
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25. Deep Learning Volatility. (2019). Tomas, Mehdi ; Horvath, Blanka ; Muguruza, Aitor.
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26. On the martingale property in the rough Bergomi model. (2019). Gassiat, Paul.
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27. Volatility options in rough volatility models. (2019). Tankov, Peter ; Horvath, Blanka ; Jacquier, Antoine.
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28. Short-term at-the-money asymptotics under stochastic volatility models. (2019). el Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Gatheral, Jim.
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29. DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS. (2018). Sobotka, T ; Merino, R ; Vives, J ; Pospiil, J.
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30. Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. (2018). Shiraya, Kenichiro ; Als, Elisa.
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31. Deep calibration of rough stochastic volatility models. (2018). Bayer, Christian ; Stemper, Benjamin.
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32. On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Garc, David ; Muguruza, Aitor.
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33. Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine.
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34. On the optimal choice of strike conventions in exchange option pricing. (2018). Coulon, Michael ; Alos, Elisa.
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35. Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa.
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36. Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil.
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37. Turbocharging Monte Carlo pricing for the rough Bergomi model. (2018). McCrickerd, Ryan ; Pakkanen, Mikko S.
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38. Pathwise large deviations for the Rough Bergomi model. (2018). Jacquier, Antoine ; Pakkanen, Mikko S ; Stone, Henry.
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39. Short-time near-the-money skew in rough fractional volatility models. (2018). Friz, Peter K ; Bayer, Christian ; Horvath, Blanka ; Stemper, Benjamin ; Gulisashvili, Archil.
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40. Pricing derivatives with fractional volatility. (2017). Funahashi, Hideharu.
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41. The implied volatility of forward starting options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge A ; Alos, Elisa.
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42. Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Bennedsen, Mikkel ; Lunde, Asger.
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43. The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature. (2017). Jacquier, Antoine ; Leon, Jorge A ; Alos, Elisa.
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44. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge ; Alos, Elisa.
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45. A regularity structure for rough volatility. (2017). Friz, Peter K ; Gassiat, Paul ; Martin, Joerg ; Bayer, Christian ; Stemper, Benjamin.
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46. Short Maturity Asian Options for the CEV Model. (2017). Zhu, Lingjiong ; Pirjol, Dan.
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47. On VIX Futures in the rough Bergomi model. (2017). Jacquier, Antoine ; Martini, Claude ; Muguruza, Aitor.
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48. Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Solna, Knut ; Garnier, Josselin.
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49. Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Bennedsen, Mikkel ; Lunde, Asger.
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50. On the second derivative of the at-the-money implied volatility in stochastic volatility models. (2016). Leon, Jorge A. ; Alos, Elisa.
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51. Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. (2016). Olafsson, Sveinn ; Figueroa-Lopez, Jose E.
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52. Large-maturity regimes of the Heston forward smile. (2016). Jacquier, Antoine ; Roome, Patrick .
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53. Short Maturity Asian Options in Local Volatility Models. (2016). Zhu, Lingjiong ; Pirjol, Dan.
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54. Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil.
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55. Short maturity options for Azéma–Yor martingales. (2015). Zhu, Lingjiong.
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56. About the decomposition of pricing formulas under stochastic volatility models. (2015). Merino, Raul ; Vives, Josep.
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57. Short-time at-the-money skew and rough fractional volatility. (2015). Fukasawa, Masaaki.
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58. Large-Maturity Regimes of the Heston Forward Smile. (2015). Jacquier, Antoine ; Roome, Patrick .
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59. A closed-form option pricing approximation formula for a fractional Heston model. (2014). Yang, Yan ; Alos, Elisa.
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60. Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model. (2014). Chung, Tsz-Kin ; Tanaka, Keiichi ; Nagashima, Kazuki.
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61. Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki.
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62. Two-sided estimates for stock price distribution densities in jump-diffusion models. (2010). Vives, Josep ; Gulisashvili, Archil.
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