Local volatility dynamic models

DOI10.1007/s00780-008-0078-4zbMath1199.91202OpenAlexW1977522450MaRDI QIDQ2271723

Sergey Nadtochiy, René A. Carmona

Publication date: 8 August 2009

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

Full work available at URL: https://doi.org/10.1007/s00780-008-0078-4

zbMATH Keywords

market modelsimplied volatility surfacearbitrage-free term structure dynamicsHeath-Jarrow-Morton theorylocal volatility surface

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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