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Local volatility dynamic models
Rene A. Carmona
, Sergey Nadtochiy
Operations Research & Financial Engineering
Bendheim Center for Finance
Mathematics
High Meadows Environmental Institute
Princeton Institute for Computational Science and Engineering
Research output
:
Contribution to journal
›
Article
›
peer-review
40
Scopus citations
Overview
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Dive into the research topics of 'Local volatility dynamic models'. Together they form a unique fingerprint.
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Keyphrases
Dynamic Model
100%
Local Volatility
100%
Volatility Dynamics
100%
Consistency Condition
50%
Stochastic Differential Equations
50%
Market Model
50%
Drift Condition
50%
Equity Markets
50%
Arbitrage-free
50%
Absence of Arbitrage
50%
Underliers
50%
Treasury Market
50%
Dynamic Stochastic Model
50%
Mathematics
Dynamic Models
100%
Arbitrage
100%
Stochastic Model
50%
Stochastic Differential Equation
50%
Equity Market
50%
Bond Market
50%
Economics, Econometrics and Finance
Volatility
100%
Arbitrage
100%
Public Bond
50%