Tangent Lévy market models

DOI10.1007/s00780-011-0158-8zbMath1259.91047OpenAlexW2050888606MaRDI QIDQ1761433

Sergey Nadtochiy, René A. Carmona

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-011-0158-8

zbMATH Keywords

Lévy processesmarket modelsimplied volatility surfacearbitrage-free term structure dynamicsHeath-Jarrow-Morton theorytangent models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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