Stefano Pagliarani

Finance · 2013

A researcher in the Science corpus: 1 paper; trusts 1 researcher and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 13 citations into it

Whom Stefano Pagliarani trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Roger Lee

Papers from Stefano Pagliarani's perspective

Ordered by how strongly the researchers Stefano Pagliarani trusts endorse each paper. Same corpus, a different order for every researcher.

1. THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
2. Two‐Point Taylor Expansions of Analytic Functions
3. Asymptotics and calibration of local volatility models
4. Option Valuation under Stochastic Volatility
5. Derivatives in Financial Markets with Stochastic Volatility
6. A Tale of Two Indices
7. Valuation of volatility derivatives as an inverse problem
8. Post-'87 crash fears in the S&P 500 futures option market
9. Dynamics of implied volatility surfaces
10. Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading

Their papers

• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (2013) — 73 citations