Tangent Lévy market models (Q1761433)

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Tangent Lévy market models
scientific article

    Statements

    title
    Tangent Lévy market models (English)
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    author
    Sergey Nadtochiy
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    publication date
    15 November 2012
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    6106799
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