TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION |
scientific article |
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TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (English)
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30 March 2011
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market models
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Heath-Jarrow-Morton approach
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implied volatility
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local volatility
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tangent Lévy models
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