This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in multi-dimensional stochastic volatility models. In particular, the integration-byparts formula in Malliavin calculus and the push-down of Malliavin weights are effectively applied. We provide an expansion formula for generalized Wiener functionals a...

We consider the Laplace operator with Dirichlet boundary conditions on a planar domain and study the effect that performing a scaling in one direction has on the spectrum. We derive the asymptotic expansion for the eigenvalues and corresponding eigenfunctions as a function of the scaling parameter around zero. This method allows us, for instance, to obtain an approximation for the first Dirichl...

We study approximations for the L\'evy area of Brownian motion which are based on Fourier series expansion and a polynomial associated bridge. Comparing asymptotic convergence rates approximations, we see that approximation resulting from bridge is more accurate than Kloeden-Platen-Wright approximation, whilst still only using independent normal random vectors. then link these to limiting fluct...

In this work, a non-integer order Airy equation involving Liouville differential operator is considered. Proposing an undetermined integral solution to the left fractional Airy differential equation, we utilize some basic fractional calculus tools to clarify the closed form. A similar suggestion to the right FADE, converts it into an equation in the Laplace domain. An illustration t...