Concepedia

Archil Gulisashvili

AG

18

Publications

650

Citations

14

H-Index

1995

Active since

Affiliations

Ohio University(Current)

Princeton University

Technische Universität Berlin

Weierstrass Institute for Applied Analysis and Stochastics

Imperial College London

Archil Gulisashvili is an author at Ohio University specializing in engineering, volatility modeling, and business.

Top concepts

EngineeringVolatility ModelingBusinessMultivariate Stochastic VolatilityStatisticsAsset PricingOption PricingProbabilityStochastic CalculusStochastic Volatility

Publications per year

1995–2019

18

Publications

18

Exact smoothing properties of Schrödinger semigroups

Archil Gulisashvili, Mark Kon · American Journal of Mathematics · 1996 · 100 citations

Topological Semigroups, Dirichlet Form, Riemann-hilbert Problem +9

Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes

Archil Gulisashvili · SIAM Journal on Financial Mathematics · 2010 · 75 citations

Extreme Strikes, Moment Formulas, Option Pricing +12

Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models

Archil Gulisashvili, Elias M. Stein · Applied Mathematics & Optimization · 2009 · 69 citations

Asymptotic Behavior, Volatility Modeling, Option Pricing +10

Short-time near-the-money skew in rough fractional volatility models

Christian Bayer, Peter K. Friz, Archil Gulisashvili et al. · Quantitative Finance · 2018 · 62 citations · Full text

On refined volatility smile expansion in the Heston model

Peter K. Friz, Stefan Gerhold, Archil Gulisashvili et al. · Quantitative Finance · 2011 · 54 citations

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