We propose two main applications of Gy��ngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional marginals of continuous It�� processes. Firstly, we prove Dupire (1994) and Derman and Kani (1994)'s result. We then present Bessel-based stochastic volatility models in which this relation is used to compute analytical formulas for the local volatility. Secondly, we use these mimicking techniques to extend the well-known local volatility results to a stochastic interest rates framework.