"The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical … volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast … calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the …

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …