The author considers SABR model which is a two factor stochastic volatility model and gives an asymptotic expansion formula of implied volatilities for this mod

Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied vola

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond

The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institu

In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Rie