TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258): Difference between revisions

@@ Property / author @@
-René A. Carmona
@@ Property / author: René A. Carmona / rank @@
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@@ Property / author @@
+René A. Carmona
@@ Property / author: René A. Carmona / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Paris-Princeton lectures on mathematical finance 2004.
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+Local volatility dynamic models
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+Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+Option pricing when underlying stock returns are discontinuous
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+A market model for stochastic implied volatility
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+TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
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+A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024911006280
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+W2073066220
@@ Property / OpenAlex ID: W2073066220 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:3086258