TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258)

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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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