S. Violante

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All published works

Action	Title	Year	Authors
+	Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications	2013	Jean‐Dominique Deuschel Peter K. Friz Antoine Jacquier S. Violante
+ PDF Chat	Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations	2013	Jean‐Dominique Deuschel Peter K. Friz Antoine Jacquier S. Violante
+	Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]	2013	J. D. Deuschel Peter K. Friz Antoine Jacquier S. Violante
+	Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]	2013	J. D. Deuschel Peter K. Friz Antoine Jacquier S. Violante
+	Marginal density expansions for diffusions and stochastic volatility	2012	Jean‐Dominique Deuschel Peter K. Friz Antoine Jacquier S. Violante
+	Asymptotics of Wiener functionals and applications to mathematical finance	2012	S. Violante
+	Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations	2011	J. D. Deuschel Peter K. Friz Antoine Jacquier S. Violante
+	Marginal density expansions for diffusions and stochastic volatility, part I: Theoretical Foundations	2011	J. D. Deuschel Peter K. Friz Antoine Jacquier S. Violante

Common Coauthors

Coauthor	Papers Together
Antoine Jacquier	7
Peter K. Friz	7
J. D. Deuschel	4
Jean‐Dominique Deuschel	2
Jean‐Dominique Deuschel	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Mimicking the one-dimensional marginal distributions of processes having an ito differential	1986	István Gyöngy	4
+ PDF Chat	Decroissance exponentielle du noyau de la chaleur sur la diagonale (I)	1991	Gérard Ben Arous Rémi Léandre	4
+	Polynomial control systems	1985	Velimir Jurdjevic Ivan Kupka	4
+	Precise asymptotics of certain Wiener functionals	1991	Shigeo Kusuoka Daniel W. Stroock	4
+	Probability Distribution in the SABR Model of Stochastic Volatility	2015	Patrick S. Hagan Andrew Lesniewski Diana E. Woodward	4
+ PDF Chat	Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models	2009	Archil Gulisashvili Elias M. Stein	4
+	Multidimensional Stochastic Processes as Rough Paths	2010	Peter K. Friz Nicolas Victoir	3
+ PDF Chat	Random perturbations of dynamical systems	1997	Michael Blank	3
+	A remark on the asymptotic expansion of density function of Wiener functionals	2008	Shigeo Kusuoka Yasufumi Osajima	3
+	General Asymptotics of Wiener Functionals and Application to Mathematical Finance	2007	Yasufumi Osajima	2
+	Large Deviations	2011	S. R. S. Varadhan	2
+ PDF Chat	Asymptotic Implied Volatility at the Second Order with Application to the SABR Model	2009	Louis Paulot	2
+	DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY	1975	Stanislav Molchanov	2
+	A generalized Fernique theorem and applications	2010	Peter K. Friz Harald Oberhauser	2
+	On the behavior of the fundamental solution of the heat equation with variable coefficients	1967	S. R. S. Varadhan	2
+ PDF Chat	Smile Asymptotics II: Models with Known Moment Generating Functions	2008	Shalom Benaim Peter K. Friz	2
+ PDF Chat	Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes	2004	Catherine Donati-Martin Alain Rouault Marc Yor Marguerite Zani	2
+ PDF Chat	REGULAR VARIATION AND SMILE ASYMPTOTICS	2009	Sagie Benaim Peter K. Friz	2
+ PDF Chat	On refined volatility smile expansion in the Heston model	2011	Peter K. Friz Stefan Gerhold Archil Gulisashvili Stephan Sturm	2
+	Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model	2015	Gérard Ben Arous Peter Laurence	1
+ PDF Chat	Principe de moindre action, propagation de la chaleur et estimees sous elliptiques sur certains groupes nilpotents	1977	Bernard Gaveau	1
+ PDF Chat	General Freidlin–Wentzell Large Deviations and positive diffusions	2011	Paolo Baldi Lucia Caramellino	1
+ PDF Chat	Two‐Phase Free Boundary Problems for Parabolic Operators: Smoothness of the Front	2013	Fausto Ferrari Sandro Salsa	1
+	Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications	2013	Jean‐Dominique Deuschel Peter K. Friz Antoine Jacquier S. Violante	1
+ PDF Chat	Asymptotic Implied Volatility at the Second Order with Application to the SABR Model	2015	Louis Paulot	1
+ PDF Chat	Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations	2013	Jean‐Dominique Deuschel Peter K. Friz Antoine Jacquier S. Violante	1
+	Riemannian geometry	1996	Takashi Sakai	1
+	Closed-Form Likelihood Expansions for Multivariate Diffusions	2002	Yacine Aït‐Sahalia	1
+ PDF Chat	Décroissance exponentielle du noyau de la chaleur sur la diagonale (II)	1991	Gérard Ben Arous Rémi Léandre	1
+	Doctoral Dissertation	1999	Michael Monastyrsky	1