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

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Revision as of 21:46, 3 July 2024

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TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
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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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