TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION

DOI10.1142/S0219024911006280zbMath1208.91169MaRDI QIDQ3086258

Sergey Nadtochiy, René A. Carmona

Publication date: 30 March 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006280

zbMATH Keywords

market models; implied volatility; local volatility; Heath-Jarrow-Morton approach; tangent Lévy models

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

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Simulation of Implied Volatility Surfaces via Tangent Lévy Models, CONDITIONAL DENSITY MODELS FOR ASSET PRICING, On the calibration of local jump-diffusion asset price models, 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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