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ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 35 / Issue 4 / October 2021
- Published online by Cambridge University Press:
- 22 May 2020, pp. 942-974
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SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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- Probability in the Engineering and Informational Sciences / Volume 33 / Issue 2 / April 2019
- Published online by Cambridge University Press:
- 05 June 2018, pp. 258-290
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On the phase transition curve in a directed exponential random graph model
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- Advances in Applied Probability / Volume 50 / Issue 1 / March 2018
- Published online by Cambridge University Press:
- 20 March 2018, pp. 272-301
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- March 2018
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Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
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- Advances in Applied Probability / Volume 49 / Issue 2 / June 2017
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- 26 June 2017, pp. 446-480
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- June 2017
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Limit Theorems for Empirical Density of Greatest Common Divisors
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- Journal:
- Mathematical Proceedings of the Cambridge Philosophical Society / Volume 161 / Issue 3 / November 2016
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- 23 May 2016, pp. 517-533
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- November 2016
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Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
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- Journal of Applied Probability / Volume 51 / Issue 3 / September 2014
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- 30 January 2018, pp. 699-712
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- September 2014
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Central Limit Theorem for Nonlinear Hawkes Processes
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- Journal of Applied Probability / Volume 50 / Issue 3 / September 2013
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- 30 January 2018, pp. 760-771
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- September 2013
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