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Local volatility dynamic models

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Author Info
René Carmona ()
Sergey Nadtochiy ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-008-0078-4
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 1 (January)
Pages: 1-48
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Handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:1-48

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Implied volatility surface; Local volatility surface; Market models; Arbitrage-free term structure dynamics; Heath–Jarrow–Morton theory; C61; 60H10; 91B24;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 207-218, June. [Downloadable!] (restricted)
  2. Martin Schweizer & Johannes Wissel, 2008. "Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results," Mathematical Finance, Blackwell Publishing, vol. 18(1), pages 77-114. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. A. Gulisashvili, 2009. "Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes," Quantitative Finance Papers 0906.0394, arXiv.org. [Downloadable!]
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This page was last updated on 2009-11-25.

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