Short-time at-the-money skew and rough fractional volatility

A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS

(2013) Aleksandar Mijatović et al.   MATHEMATICAL FINANCE

Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion

(2012) Masaaki Fukasawa   ELECTRONIC JOURNAL OF PROBABILITY

Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process

(2011) Alexey A Muravlev   RUSSIAN MATHEMATICAL SURVEYS

Asymptotic analysis for stochastic volatility: martingale expansion

(2010) Masaaki Fukasawa   FINANCE AND STOCHASTICS

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

(2010) Jim Gatheral et al.   MATHEMATICAL FINANCE

Testing for jumps in a discretely observed process

(2009) Yacine Aït-Sahalia et al.   ANNALS OF STATISTICS