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Local volatility dynamic models
Rene A. Carmona
, Sergey Nadtochiy
Operations Research & Financial Engineering
Bendheim Center for Finance
Mathematics
Princeton Environmental Institute
Princeton Institute for Computational Science and Engineering
Research output
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Article
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peer-review
33
Scopus citations
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Mathematics
Arbitrage
Volatility
Dynamic Model
Market
Equity
Market Model
Consistency Conditions
Philosophy
Stochastic Model
Stochastic Equations
Differential equation
Framework
Characterization
Model
Business & Economics
Local Volatility
Arbitrage
Stochastic Differential Equations
Treasury Bonds
Stochastic Model
Bond Market
Market Model
Equity Markets
Characterization
Coefficients