{"id":116,"date":"2025-06-14T08:28:07","date_gmt":"2025-06-14T08:28:07","guid":{"rendered":"https:\/\/victor-nistor.apps.math.cnrs.fr\/?page_id=116"},"modified":"2025-06-15T14:50:44","modified_gmt":"2025-06-15T14:50:44","slug":"financial-mathematics","status":"publish","type":"page","link":"https:\/\/victor-nistor.apps.math.cnrs.fr\/?page_id=116","title":{"rendered":"Financial Mathematics"},"content":{"rendered":"<ol>\n<li>Olesya Grishenko, Xiao Han, and Victor Nistor, <a href=\"https:\/\/plmbox.math.cnrs.fr\/f\/b4f7c1e5efe747319a29\/\"><em>A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model,<\/em><\/a> Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020; Zbl 1441.91075)<\/li>\n<li>Weng Cheng, Nick Costanzino, John Liechty, Anna Mazzucato, and Victor Nistor,<br \/>\n<a href=\"https:\/\/plmbox.math.cnrs.fr\/f\/5660cee4e1fc4310b2f9\/\"><em>Closed-form asymptotics and numerical approximations of 1D parabolic equations with applications to option pricing,<\/em><\/a> SIAM J. Financ. Math. 2, 901&#8211;934 (2011; Zbl 1242.35131)<\/li>\n<\/ol>\n<p>Papers containing results related to the above papers.<\/p>\n<ol>\n<li>Radu Constantinescu, Nick Costanzino,\u00a0 Anna Mazzucato, and Victor Nistor, <a href=\"https:\/\/plmbox.math.cnrs.fr\/f\/6a41d263a58645c38f2b\/\"><em>Approximate solutions to second order parabolic equations. I: analytic estimates,<\/em><\/a> J. Math. Phys., vol 51, 2010, no 10, pages 103502, 26.<\/li>\n<\/ol>\n<p>(Under construction, last updated June 15, 2025.)<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Olesya Grishenko, Xiao Han, and Victor Nistor, A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020; Zbl 1441.91075) Weng Cheng, Nick Costanzino, John Liechty, Anna Mazzucato, and Victor Nistor, Closed-form asymptotics and numerical approximations of 1D parabolic &hellip; <a href=\"https:\/\/victor-nistor.apps.math.cnrs.fr\/?page_id=116\" class=\"more-link\">Continue reading <span class=\"screen-reader-text\">Financial Mathematics<\/span> <span class=\"meta-nav\">&rarr;<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-116","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=\/wp\/v2\/pages\/116","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=116"}],"version-history":[{"count":6,"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=\/wp\/v2\/pages\/116\/revisions"}],"predecessor-version":[{"id":148,"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=\/wp\/v2\/pages\/116\/revisions\/148"}],"wp:attachment":[{"href":"https:\/\/victor-nistor.apps.math.cnrs.fr\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=116"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}