Dupire formula
Breaking barriers in options pricing
A new technique for pricing exotic options unifies two classic models
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions