55 citations · 103 across the 22 of their papers we have counts for
26 papers
Multivariate Stochastic Volatility Models and Large Deviation Principles
Archil Gulisashvili
We establish a comprehensive sample path large deviation principle (LDP) for log-processes associated with multivariate time-inhomogeneous stochastic volatility models. Examples of…
Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model
Archil Gulisashvili
We introduce stochastic volatility models, in which the volatility is described by a time-dependent nonnegative function of a reflecting diffusion. The idea to use reflecting diffu…
Large deviations for fractional volatility models with non-Gaussian volatility driver
Stefan Gerhold, Christoph Gerstenecker, Archil Gulisashvili
We study stochastic volatility models in which the volatility process is a function of a continuous fractional stochastic process, which is an integral transform of the solution of…
Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness
Archil Gulisashvili
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may…
Higher order approximation of call option prices under stochastic volatility models
Archil Gulisashvili, Raúl Merino, Marc Lagunas +1
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new…
Extensions of dualities and a new approach to the Fedorchuk duality
G. Dimov, E. Ivanova-Dimova, W. Tholen
Applying a general categorical construction for the extension of dualities, we present a new proof of the Fedorchuk duality between the category of compact Hausdorff spaces with th…