Also
(4) (PDF) The Implied Volatility Surface Does Not Move by Parallel Shifts (researchgate.net)
(you can prove the skew flattening result from there holds even if instead of S_t being a martingale, you assume it is just a collection of positive RVs with the same mean fitting the skew) 

LEt me make a note that Fichera theory hasn't been sufficiently publicized (Daniel's books being exceptiona), especially not in connection with SDEs. A rare instance where this connection was made is the Friedman's "Stochastic Differential Equations and Applications I" pg. 206.

<r>To get Novikov for the CIR process one of the exercises in Revuz& Yor is useful, see <URL url="http://www.itwm.fraunhofer.de/zentral/download/berichte/bericht53.pdf"><LINK_TEXT text="http://www.itwm.fraunhofer.de/zentral/d ... icht53.pdf">http://www.itwm.fraunhofer.de/zentral/download/bericht...

For Gaussian, Lemma 5.6.1 in http://www.control.uwaterloo.ca/heunis/notes.902.pdf, can extend from there.

I found typos in compund options and in options on several assets - those formulae have been removed from the second edition.Those are almost two different books, so keeping them both makes sense.

Google up Piterbarg's work on stoch vol and Markovian projections.

<t>got a copy of Y.K. Kwok "Mathematical Models of financial Derivatives" 2nd ed. Over the years I've found his book (first ed '98) quite useful at times, as it contains unusually large collection of formulae with an acceptable levels of typos. The 2nd edition is significanly larger, but for some re...

Also given in Proposition 6.2.4 of Lamberton and Lapeyre's book

take a look atLyons, T. J., Zheng, W., A. On conditional diffusion processes. Proc. Roy. Soc. Edinburgh Sect. A 115 (1990), no. 3-4, 243-255what you need is also summarized inQian_Zheng

ballot problem, vN got it.

dy/(x-y)=dx/(x+y) => d(xy)/(x^2+y^2)=d(.5(x^2-y^2))/(x^2+y^2),and go from there.

I've switched X and Z below:By Tonelliso for some ywhich implies integrability of X. Then integrability of Y follows since the sum is integrable.

Sorry, what I meant was article "Forward-start options in stochastic volatility models" in Sept. 03 Wilmott mag.

You're right. 1D integral of cliquet was done in Sept 03 issue of Wilmott, so this paper doesn't make much sense.

for rho=0 this should work as well. First use Tonelli to get integrability of S_{t}.Then to check E[S_t|F_s]=S_s, first condition S_t on sigma-alg. generated by W_stock up to s, and W_vol up to t,and use independence.