Asymptotic Implied Volatility at the Second Order with Application to the SABR Model

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Currency Options, Option Pricing, Multivariate Stochastic Volatility +15

Dynamical Theory of Groups and Fields

Bryce S. DeWitt, Albert A. Mullin · American Journal of Physics · 1966 · 1.6K citations

Group Structure, Dynamical Theory, Lie Group

Heat kernel expansion: user's manual

Physics Reports · 2003 · 924 citations · Full text

Numerical Analysis, Engineering, Physics +7

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S. R. S. Varadhan · Communications on Pure and Applied Mathematics · 1967 · 356 citations

Method Of Fundamental Solution, Variable Coefficients, Engineering +8

Diffusion processes in a small time interval

S. R. S. Varadhan · Communications on Pure and Applied Mathematics · 1967 · 265 citations

Diffusion Process, Transport Phenomena, Diffusion-based Modeling +2