Tangent Lévy market models (Q1761433): Difference between revisions
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Revision as of 05:35, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tangent Lévy market models |
scientific article |
Statements
Tangent Lévy market models (English)
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15 November 2012
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implied volatility surface
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tangent models
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Lévy processes
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market models
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arbitrage-free term structure dynamics
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Heath-Jarrow-Morton theory
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