13 results on '"León, Jorge"'
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2. Malliavin Calculus for Fractional Delay Equations
3. _
4. The implied volatility of Forward-Start options: ATM short-time level, skew and curvature.
5. On the closed-form approximation of short-time random strike options
6. On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation.
7. Local Malliavin calculus for Lévy processes and applications.
8. Ito's formula for linear fractional PDEs.
9. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility.
10. An extension of the divergence operator for Gaussian processes
11. AN ANTICIPATING CALCULUS APPROACH TOT HE UTILITY MAXIMIZATION OF AN INSIDER.
12. An Intuitive Introduction to Fractional and Rough Volatilities.
13. On the second derivative of the at-the-money implied volatility in stochastic volatility models
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