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Finance and Stochastics, Vol. 11, Iss. 4, 2007-10 ,pp. : 571-589

Springer Publishing Company

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Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models

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Quantitative Finance, Vol. 11, Iss. 1, 2011-01 ,pp. : 101-113

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Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise

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Dynamics of implied volatility surfaces

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Maturity cycles in implied volatility

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