In a unified model-free framework that includes long-expiry, short-expiry, extreme-strike, and jointly-varying strike-expiry regimes, we generate implied volatility and implied variance approximations, with rigorous error estimates asymptotically smaller than any given power of L, where L...

We show that the sequential closure of a family of probability measures on the canonical space of càdlàg paths satisfying Stricker’s uniform tightness condition is a weak∗ compact set of semimartingale measures in the dual pairing of bounded continuous functions and Radon measures, that...

We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. In a recent paper [3], Björk and Svensson give...