Tangent Lévy market models
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Publication:1761433
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
Lévy processesmarket modelsimplied volatility surfacearbitrage-free term structure dynamicsHeath-Jarrow-Morton theorytangent models
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