Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility
Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
Henry-Labordere: Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry
Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility
Osajima: General Asymptotics of Wiener Functionals and Application to Implied Volatilities
Bayer, Laurence: Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
Keller-Ressel, Teichmann: A Remark on Gatheral's 'Most-likely Path Approximation' of Implied Volatility
Gatheral, Wang: Implied volatility from local volatility: a path integral approach
Gerhold, Friz: Don't Stay Local
Extrapolation Analytics for Dupire's Local Volatility
Gulisashvili, Teichmann: Laplace Principle Expansions and Short Time Asymptotics for Affine Processes
Lorig, Pascucci, Pagliarani: Asymptotics for d-dimensional Levy-type Processes
Takahashi: An Asymptotic Expansion Approach in Finance
Baudoin, Ouyang: On small time asymptotics for rough differential equations driven by fractional Brownian motions
Lucic: On singularities in the Heston model.- Bayer, Friz, Laurence: On the probability density function of baskets
Conforti, De Marco, Deuschel: On small-noise equations with degenerate limiting system arising from volatility models
Pham: Long time asymptotic problems for optimal investment
Spiliopoulos: Systemic Risk and Default Clustering for Large Financial Systems
Jacod, Rosenbaum: Asymptotic Properties of a Volatility Estimator.