55 citations · 103 across the 22 of their papers we have counts for
4 papers · 1 filter
Left-wing asymptotics of the implied volatility in the presence of atoms
Archil Gulisashvili
We consider the asymptotic behavior of the implied volatility in stochastic asset price models with atoms. In such models, the asset price distribution has a singular component at…
Tail behavior of sums and differences of log-normal random variables
Archil Gulisashvili, Peter Tankov
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of component…
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
Peter K. Friz, Benjamin Gess, Archil Gulisashvili +1
We discuss stochastic calculus for large classes of Gaussian processes, based on rough path analysis. Our key condition is a covariance measure structure combined with a classical…
The Heston Riemannian distance function
Archil Gulisashvili, Peter Laurence
The Heston model is a popular stock price model with stochastic volatility that has found numerous applications in practice. In the present paper, we study the Riemannian distance…