, 301 6.1.2 Tenor structures and simplified notations, 302 6.1.4 On the relative pertinence of the SV-HJM and SV-LMM classes . . . . 303
, 304 6.2.1 Dynamics of the rebased Zero Coupons, 304 6.2.2 Dynamics of a rebased ZC basket with fixed weights . . . . . . . . . . . 305
, Volatility skews and extension of the libor market model, Applied Mathematical Finance, vol.34875, issue.230, pp.1-32, 2000.
, Volatile volatilities. RISK Magazine, dec, p.333, 2002.
, Extended libor market models with stochastic volatility, p.333, 2001.
, A market-induced mechanism for stock pinning, Quantitative Finance, vol.333, pp.417-425, 2003.
, Normal mixture diffusion with uncertain volatility : Modelling shortand long-term smile effects, Journal of Banking and Finance, vol.2858, pp.2957-2980, 2004.
, Hedging with stochastic and local volatility. Working Paper, 2004.
, Stochastic local volatility, Second IASTED International Conference, pp.136-141, 2004.
, Back to the future, Risk magazine, vol.18230, pp.104-109, 2005.
, Moment explosions in stochastic volatility models, Finance and Stochastics, vol.211, issue.375, 2006.
, Aspects of stochastic implied volatility in financial markets, 2001.
, Deterministic implied volatility models, Quantitative Finance, vol.23, pp.31-44, 2002.
, Asymptotics and calibration of local volatility models, Quantitative Finance, vol.4, issue.1, pp.49-53, 2002.
DOI : 10.1002/cpa.3160450103
, Computing the implied volatility in stochastic volatility models, Communications on Pure and Applied Mathematics, vol.20, issue.140, pp.1352-1373, 2004.
DOI : 10.1002/cpa.20039
, Local time for the sabr model. connection with the complex black-scholes and application to cms and spread options. Working paper, IXIS CIB, sep, 2007.
, The constant elasticity of variance model and its implications for option pricing, The Journal of Finance, vol.35109, issue.3, pp.661-673, 1980.
, Smile dynamics, Risk, pp.117-123, 2004.
, Smile dynamics ii, Risk, pp.67-73, 2005.
, Smile dynamics iii, Risk, pp.90-96, 2008.
, Smile dynamics iv, Risk, pp.94-100, 2009.
, Smile asymptotics ii : models with known moment generating function, 2008.
, REGULAR VARIATION AND SMILE ASYMPTOTICS, Mathematical Finance, vol.14, issue.3, pp.1-12, 0209.
DOI : 10.1111/j.1467-9965.2008.00354.x
URL : http://arxiv.org/abs/math/0603146
, On Black-Scholes Implied Volatility at Extreme Strikes, 2008.
DOI : 10.1002/9781118266915.ch2
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.172.1767
, Market model of stochastic implied volatility with application to the bgm model, 2001.
, The Market Model of Interest Rate Dynamics, Mathematical Finance, vol.7, issue.2, pp.127-155, 1997.
DOI : 10.1111/1467-9965.00028
, EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL, International Journal of Theoretical and Applied Finance, vol.13, issue.04, p.375, 2008.
DOI : 10.1142/S0219024910005887
URL : https://hal.archives-ouvertes.fr/hal-00325939
, Analytical formulas for local volatility model with stochastic rates, 2009.
, Time dependent heston model, 2009.
, Prices of State-Contingent Claims Implicit in Option Prices, The Journal of Business, vol.51, issue.4, pp.621-651, 1978.
DOI : 10.1086/296025
, Interest rate models: theory and practice, 2006.
DOI : 10.1007/978-3-662-04553-4
, LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES, International Journal of Theoretical and Applied Finance, vol.05, issue.04, pp.427-446, 2002.
DOI : 10.1142/S0219024902001511
, Approximated momentmatching dynamics for basket-options simulation. Working paper, Banca IMI, vol.135, 2002.
DOI : 10.2139/ssrn.268433
, Consistent variance curves, Finance and Stochastics, vol.103, issue.2, 2006.
, Volatility markets : consistent modeling, hedging and practical implementation of Variance Swap Market Models, 2006.
, Dynamics of implied volatility surfaces, Quantitative Finance, vol.23, issue.25, pp.45-60, 2002.
, Stochastic models of implied volatility surfaces, Economic Notes, vol.313, issue.2, pp.361-377, 2002.
, Term structure dynamics and mortgage valuation, Journal of Fixed Income, vol.1303, pp.28-41, 1992.
, An infinite dimensional stochastic analysis approach to local volatility models, Communications on Stochastic Analysis, vol.23, issue.375, pp.109-123, 2008.
, Local volatility dynamic models, Finance and Stochastics, vol.20, issue.2, pp.1-48, 2009.
DOI : 10.1007/s00780-008-0078-4
, Modeling term structure dynamics: an infinite dimensional approach, Ecole Polytechnique, vol.334, 2004.
, Interest rate models : an infinite-dimensional stochastic analysis perspective, 2006.
, Complete-market models of stochastic volatility, Proceedings of the Royal Society, pp.11-26, 2004.
, Regimes of volatility : Some observations on the variation of sp500 implied volatilities. Quantitative strategies research notes, 1999.
, Static arbitrage bounds on basket option prices, Mathematical Programming, pp.467-89, 2006.
, Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility, International Journal of Theoretical and Applied Finance, vol.01, issue.01, pp.61-110, 1998.
DOI : 10.1142/S0219024998000059
, Coupling smiles, Quantitative Finance, vol.89, issue.126, pp.573-590, 2008.
DOI : 10.2139/ssrn.1005332
URL : https://hal.archives-ouvertes.fr/hal-00708494
, The local volatility surface : Unlocking the information in index option prices. Quantitative strategies research notes, 1995.
, Market completion using options, Advances in Mathematics of Finance, 2008.
DOI : 10.4064/bc83-0-4
URL : http://arxiv.org/abs/0710.2792
, Pricing and hedging with smiles. Working paper, Paribas Capital Markets, 1993.
, Pricing with a smile, Risk, 1994.
, From Implied to Spot Volatilities, 2003.
, From implied to spot volatilities, Mathematical Finance, vol.43, issue.179, 2006.
, Convergence of at-the-money implied volatilities to the spot volatility, 2007.
, From implied to spot volatilities, Finance and Stochastics, vol.149, issue.2, pp.157-177, 2010.
, Probability distribution of returns in the heston model with stochastic volatility, Quantitative Finance, vol.236, issue.209, pp.443-453, 2002.
, Semiparametric Modeling of Implied Volatility. Lecture Notes, 2005.
, Consistency problems for Heath-Jarrow-Morton interest rate models, Lecture Notes in Mathematics, vol.334, 2001.
, Small-time asymptotics for implied volatility under a general local-stochastic volatility model, 2009.
, Small noise expansion and importance sampling, Asymptotic Analysis, vol.14, issue.4, pp.361-376, 0207.
, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-654, 1973.
DOI : 10.1086/260062
, Financial modeling in a fast meanreverting stochastic volatility environment, Asia-Pacific Financial Markets, vol.6, issue.1, pp.37-48, 1999.
DOI : 10.1023/A:1010010626460
, Derivatives In Financial Markets With Stochastic Volatility, 0207.
, MEAN-REVERTING STOCHASTIC VOLATILITY, International Journal of Theoretical and Applied Finance, vol.03, issue.01, pp.470-493, 2000.
DOI : 10.1142/S0219024900000061
, Libor market model with stochastic volatility, 2003.
, Modeling the implied volatility surface. Presentation at the global derivatives and risk management, 2003.
, The Volatility Surface : a practitioner's guide, p.53, 2006.
, Developments in volatility derivatives modeling. Presentation at the global derivatives trading and risk management, 2007.
, Further developments in volatility derivatives modeling. Presentation at the global derivatives trading and risk management, 2008.
, Asymptotics of implied volatility in local volatility models, 2010.
, The term structure of simple forward rates with jump risk. Working paper, Columbia Unversity, 1999.
, Discretization of deflated bond prices, Advances in Applied Probability, vol.32336, pp.540-563, 2001.
DOI : 10.1239/aap/1013540178
URL : http://projecteuclid.org/download/pdf_1/euclid.aap/1013540178
, Arbitrage-free discretization of lognormal forward Libor and swap rate models, Finance and Stochastics, vol.4, issue.1, pp.35-68, 2000.
DOI : 10.1007/s007800050002
, Stochastic Implied Volatility. Number 545 in Lecture Notes In Economics And Mathematical Systems, pp.25-374, 2004.
, The case for time homogeneity. Wilmott Magazine, sep, 2006.
, A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review Of Financial Studies, vol.6, issue.2, pp.327-343, 1993.
, BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION, Econometrica, vol.602, pp.77-105, 1992.
DOI : 10.1142/9789812819222_0013
, Managing smile risk. Wilmott, sep, pp.84-108, 2002.
, A General Asymptotic Implied Volatility for Stochastic Volatility Models, SSRN Electronic Journal, 2005.
DOI : 10.2139/ssrn.698601
URL : https://hal.archives-ouvertes.fr/hal-00004632
, Unifying the bgm and sabr models : a short ride in hyperbolic geometry, 2006.
URL : https://hal.archives-ouvertes.fr/hal-00015510
, Libor market model with sabr style stochastic volatility, 2008.
, Analysis, Geometry and Modeling in Finance -Advanced Methods in Option Pricing, CRC Financial Mathematics Series. Chapman & Hall, vol.8, issue.333, 2008.
, Probability Distribution in the SABR Model of Stochastic Volatility, Report, Bloomberg LP, 2005.
DOI : 10.1007/978-3-319-11605-1_1
, A factor-based stochastic implied volatility model, Risklab Germany, vol.3, 2005.
, Options, Futures, and Other Derivatives. Fifth Edition. Finance Series, 2003.
, The Pricing of Options on Assets with Stochastic Volatilities, The Journal of Finance, vol.40, issue.2, pp.281-300, 1987.
DOI : 10.1111/j.1540-6261.1987.tb02568.x
, Pricing Interest-Rate-Derivative Securities, Review of Financial Studies, vol.3, issue.4, pp.573-592, 1990.
DOI : 10.1093/rfs/3.4.573
URL : http://rfs.oxfordjournals.org/cgi/content/short/3/4/573
, Equivalent black volatilities An asymptotic fx option formula in the cross currency libor market model, Applied Mathematical Finance, vol.668, issue.121 253, pp.147-157, 1999.
, Risk-neutral compatibility with option prices, Finance and Stochastics, vol.12, issue.2, pp.285-315, 2010.
DOI : 10.1007/s00780-009-0109-9
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.212.6299
, A stochastic-volatility, displaced-diffusion extension of the libor market model. Working paper, 2001.
, Processus stochastiques et produits dérivés. Lecture notes, 2009.
, Robustness of the black and scholes formula, Mathematical Finance, vol.817, issue.2, pp.93-126, 1998.
, Changes of numéraire, changes of probability measure and option pricing, Journal of Applied Probability, vol.32263, issue.2, pp.443-458, 1995.
, The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims, Mathematical Finance, vol.11, issue.1, pp.117-151, 2001.
DOI : 10.1111/1467-9965.00110
, Applications of the asymptotic expansion approach based on malliavin-watanabe calculus in financial problems Graduate school of mathematical sciences, Report, vol.8, p.375, 2003.
, Stochastic flows and stochastic differential equations, p.90, 1990.
, Relative Pricing of Options with Stochastic Volatility, SSRN Electronic Journal, vol.25, 1998.
DOI : 10.2139/ssrn.121257
, Implied volatility : Statics, dynamics, and probabilistic interpretation, Recent Advances in Applied Probability, p.49, 2004.
, The moment formula for implied volatility at extreme strikes, Mathematical Finance, vol.148, issue.36, pp.469-480, 2004.
, Wkb method for swaption smile, BNP Paribas, vol.5, 2002.
, Option Valuation Under Stochastic Volatility, p.122, 2000.
, Fundamental methods of numerical extrapolation with applications. Mitopencourseware, Massachusetts Institute Of Technology, 2006.
, Relative Pricing of Options with Stochastic Volatility, SSRN Electronic Journal, vol.3, 2002.
DOI : 10.2139/ssrn.121257
, What's a basket worth? Risk Magazine, 2004.
, Displaced lognormal volatility skews : analysis and applications to stochastic volatility simulations. Annals of Finance, Forthcoming
, Derivatives as tradeable assets, Seminario de Matematica Financiera (98-99), pp.213-232, 1997.
, Reconstructing the smile, Risk magazine, vol.15135, issue.10, 2002.
, Asymptotic methods for computing implied volatilities under stochastic volatility, National Center of Competence in Research, 2004.
, Implied volatility at expiration. Technical report, Swiss Finance Institute, 2007.
, Martingale Methods in Financial Modelling, Second Edition. Stochastic Modelling and Applied Probability, 2004.
, A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics, SSRN Electronic Journal, 2003.
DOI : 10.2139/ssrn.477441
, Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility, 2006.
, The libor/sabr market models : a critical review, 2009.
, Numerical Optimization, Second Edition, p.61, 2006.
, Fine-tune tour smile. correction to hagan & al, 2008.
, Mixture of models: A simple recipe for a ... hangover? Wilmott Magazine, pp.72-77, 2005.
, Stochastic volatility model with time-dependent skew, Applied Mathematical Finance, vol.124, issue.230, pp.147-185, 2005.
, Markovian projection for volatility calibration, Risk Magazine, vol.204, issue.109, pp.84-89, 2007.
, Valuing exotic options by approximating the spd with higher moments, The Journal of Financial Engineering, vol.7135, pp.109-125, 1998.
, Complete stochastic volatility models with variance swaps, 2004.
, Numerical Recipes in C, Second Edition, 1992.
, No-arbitrage dynamics for a tractable sabr term structure libor model, 2007.
, A time-homogeneous, sabr-consistent extension of the lmm : calibration and numerical results, Tanaka Business School, vol.333, 2007.
, Calibrating and pricing with embedded local volatility models, RISK, vol.3, issue.25, 2007.
, The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest Rate Derivatives, 2009.
DOI : 10.1002/9781119206392
, How to Keep the Smile ? Dynamic Vega Hedges and Volatility Derivatives, 2007.
, VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE, Mathematical Finance, vol.6, issue.1, pp.55-72, 1995.
DOI : 10.1016/0304-405X(77)90016-2
, OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL, Mathematical Finance, vol.8, issue.1, pp.279-302, 1996.
DOI : 10.1016/0304-405X(87)90009-2
, Contingent Claims and Market Completeness in a Stochastic Volatility Model, Mathematical Finance, vol.7, issue.4, pp.399-410, 1997.
DOI : 10.1111/1467-9965.00038
, Can the implied volatility surface move by parallel shifts? Finance and Stochastics, pp.235-248, 2010.
DOI : 10.1007/s00780-008-0081-9
, Linking caplets and swaptions prices in the LMM-SABR model, The Journal of Computational Finance, vol.13, issue.2, 2007.
DOI : 10.21314/JCF.2009.196
, A market model for stochastic implied volatility, Philosophical Transactions of the Royal Society, vol.3573, issue.25, pp.2071-2092, 1758.
, The displaced diffusion as an approximation of the cev, p.75, 2007.
, Stock Price Distributions with Stochastic Volatility: An Analytic Approach, Review of Financial Studies, vol.4, issue.4, pp.727-752, 1991.
DOI : 10.1093/rfs/4.4.727
, Pricing swaptions under the libor market model of interest rates with local-stochastic volatility models, 2010.
, Arbitrage-free market models for option prices : the multi-strike case, Finance and Stochastics, vol.123, pp.469-505, 2008.
, Term structures of implied volatilities : absence of arbitrage and existence results, Mathematical Finance, vol.183, issue.1, pp.77-114, 2008.
, Asymptotics of implied volatility far from maturity, Journal of Applied Probability, vol.468, issue.3, pp.629-650, 2009.
, Large deviations. The annals of probability, pp.397-419, 2008.
, Arbitrage-free market models for option prices, 2007.
, A market model for stochastic smiles. Working paper, 2006.