We consider an asset whose risk‐neutral dynamics are described by a general class of local‐
stochastic volatility models and derive a family of asymptotic expansions for European‐style …

We assume a continuous-time price impact model similar to that of Almgren–Chriss but with
the added assumption that the price impact parameters are stochastic processes modeled …

We consider the Cauchy problem associated with a general parabolic partial differential
equation in d dimensions. We find a family of closed-form asymptotic approximations for the …

We develop approximate formulae expressed in terms of elementary functions for the
density, the price and the Greeks of path dependent options of Asian style, in a general local …

We propose a novel method for the analytical approximation in local volatility models with
Lévy jumps. The main result is an expansion of the characteristic function in a local Lévy …

We study the finite horizon Merton portfolio optimization problem in a general local-
stochastic volatility setting. Using model coefficient expansion techniques, we derive …

In a model driven by a multidimensional local diffusion, we study the behavior of the implied
volatility σ σ and its derivatives with respect to log-strike kk and maturity TT near expiry and …

We propose a flexible framework for hedging a contingent claim by holding static positions
in vanilla European calls, puts, bonds and forwards. A model-free expression is derived for …

The growth of the exchange‐traded fund (ETF) industry has given rise to the trading of
options written on ETFs and their leveraged counterparts (LETFs). We study the relationship …

We consider the Hull-White short rate model and provide a systematic derivation of an Arrow-
Debreu pricing formula for European-style options in closed form, applying it to cap/floor …