Tangent Lévy market models

DOI10.1007/s00780-011-0158-8zbMath1259.91047MaRDI 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 processes; market models; implied volatility surface; arbitrage-free term structure dynamics; Heath-Jarrow-Morton theory; tangent models

Mathematics Subject Classification ID

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

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Discrete Time Term Structure Theory and Consistent Recalibration Models, Simulation of Implied Volatility Surfaces via Tangent Lévy Models, On the Uniqueness of Martingales with Certain Prescribed Marginals, Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders, Arbitrage-Free Neural-SDE Market Models, Representation of infinite-dimensional forward price models in commodity markets, Model uncertainty, recalibration, and the emergence of delta-vega hedging, On a Heath-Jarrow-Morton approach for stock options, ROBUST TRADING OF IMPLIED SKEW

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