TY - GEN A1 - Deuschel, Jean-Dominique A1 - Friz, Peter A1 - Jacquier, Antoine A1 - Violante, Sean T1 - Marginal density expansions for diffusions and stochastic volatility N2 - Density expansions for hypoelliptic diffusions (X1^,...,X^d� ) are revisited. In particular, we are interested in density expansions of the projection (X^1_T,...,X^l_T) at time $T>0$, with $l \le d$. Global conditions are found which replace the well-known ”not-in-cutlocus” condition known from heat-kernel asymptotics; cf. G. Ben Arous (88). Our small noise expansion allows for a ”second order” exponential factor. Applications include tail and implied volatility asymptotics in some correlated stochastic volatility models; in particular, we solve a problem left open by A. Gulisashvili and E.M. Stein (2009). KW - Laplace method on Wiener space KW - generalized density expansions in small noise and small time KW - sub-Riemannian geometry with drift KW - stochastic volatility KW - large strike and small time asymptotics for implied volatility Y1 - 2012 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/1153 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-11534 ER -