2 citations · 3 across the 5 of their papers we have counts for
5 papers
On the probability of hitting the boundary for Brownian motions on the SABR plane
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which c…
The Gärtner-Ellis theorem, homogenization, and affine processes
Archil Gulisashvili, Josef Teichmann
We obtain a first order extension of the large deviation estimates in the Gärtner-Ellis theorem. In addition, for a given family of measures, we find a special family of functions…
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
Archil Gulisashvili, Josep Vives
In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of m…
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Archil Gulisashvili
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this…
Two-sided estimates for stock price distribution densities in jump-diffusion models
Archil Gulisashvili, Josep Vives
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exp…