Tangent Lévy market models (Q1761433): Difference between revisions

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Revision as of 02:09, 20 March 2024

scientific article
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Tangent Lévy market models
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    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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