TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
DOI10.1142/S0219024911006280zbMATH Open1208.91169OpenAlexW2073066220MaRDI QIDQ3086258FDOQ3086258
Authors: Sergey Nadtochiy, René 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
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
- A jump-diffusion model for option pricing
- Gaussian measures in Banach spaces
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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- Option pricing when underlying stock returns are discontinuous
- Risk-neutral compatibility with option prices
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- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- Local volatility dynamic models
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- A market model for stochastic implied volatility
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- Paris-Princeton lectures on mathematical finance 2004.
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
Cited In (8)
- CONDITIONAL DENSITY MODELS FOR ASSET PRICING
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- Tangent Lévy market models
- Simulation of implied volatility surfaces via tangent Lévy models
- On the calibration of local jump-diffusion asset price models
- On a Heath-Jarrow-Morton approach for stock options
- Discrete time term structure theory and consistent recalibration models
- ROBUST TRADING OF IMPLIED SKEW
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