Closed form Asymptotics for Local Stochastic Volatility Models, with N. COSTANZINO, J. LIECHTY, A. MAZZUCATO,
AND V. NISTOR, Preprint. [Download PDF]
Closed Form Asymptotic Formulas for Stochastic Volatility Models with Application to SABR and Heston, with R. Constantinescu, N. COSTANZINO, A. MAZZUCATO,
AND V. NISTOR, In final preparation
Free Boundary Value Problems in American Option Pricing, This draft: July 15, 2009
Approximate Solutions to Second Order Parabolic Equations III, with N. COSTANZINO, A. MAZZUCATO,
AND V. NISTOR, In preparation
Approximate Solutions to Second Order Parabolic Equations II: time dependent case, with A. MAZZUCATO,
AND V. NISTOR, Preliminary version. [Download PDF]
These notes aim to help my understanding during my study of the above subjects. I am still working on these notes to add some details and my own understanding. If you are a grad and never touch these subjects before, and you want to get some general ideas, you will find these notes useful. However, quality is not guaranteed. These notes, I think, will eventually go to the prelimilary part of my thesis.