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Archil Gulisashvili

Identifiers

  • name variant Archil Gulisashvili 0.60 · backfill

Papers (19)

  1. Higher order approximation of call option prices under stochastic volatility models q-fin.CP · 2019 · author #1
  2. Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions q-fin.MF · 2018 · author #1
  3. Large deviation principle for Volterra type fractional stochastic volatility models q-fin.MF · 2017 · author #1
  4. Short-time near-the-money skew in rough fractional volatility models q-fin.PR · 2017 · author #3
  5. On the probability of hitting the boundary for Brownian motions on the SABR plane math.PR · 2016 · author #1
  6. Small-time asymptotics for Gaussian self-similar stochastic volatility models q-fin.MF · 2015 · author #1
  7. Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models q-fin.MF · 2015 · author #1
  8. Mass at zero in the uncorrelated SABR model and implied volatility asymptotics q-fin.PR · 2015 · author #1
  9. Distance to the line in the Heston model q-fin.MF · 2014 · author #1
  10. The G\"{a}rtner-Ellis theorem, homogenization, and affine processes q-fin.MF · 2014 · author #1
  11. Implied volatility of basket options at extreme strikes q-fin.PR · 2014 · author #1
  12. Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models q-fin.PR · 2014 · author #1
  13. Left-wing asymptotics of the implied volatility in the presence of atoms q-fin.PR · 2013 · author #1
  14. Tail behavior of sums and differences of log-normal random variables math.PR · 2013 · author #1
  15. The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian H\"ormander theory math.PR · 2013 · author #3
  16. The Heston Riemannian distance function q-fin.GN · 2013 · author #1
  17. Spatial rough path lifts of stochastic convolutions math.PR · 2012 · author #3
  18. Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture q-fin.PR · 2010 · author #1
  19. Two-sided estimates for stock price distribution densities in jump-diffusion models q-fin.GN · 2010 · author #1

Mentions

  • 1409.6027 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1406.3716 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1406.0394 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1403.5302 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1311.6027 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1309.3057 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1307.3460 #3 · backfill · confidence 0.70 Archil Gulisashvili
  • 1302.2337 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1211.0046 #3 · backfill · confidence 0.70 Archil Gulisashvili
  • 1007.5353 #1 · backfill · confidence 0.70 Archil Gulisashvili
  • 1005.1917 #1 · backfill · confidence 0.70 Archil Gulisashvili

Frequent Coauthors