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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
37
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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Mathematics
Arbitrage
93%
Volatility
79%
Dynamic Model
74%
Market
71%
Equity
50%
Market Model
47%
Consistency Conditions
45%
Philosophy
41%
Stochastic Model
33%
Stochastic Differential Equations
30%
Framework
20%
Characterization
18%
Coefficient
17%
Model
11%
Business & Economics
Local Volatility
100%
Arbitrage
76%
Stochastic Differential Equations
31%
Treasury Bonds
30%
Stochastic Model
24%
Bond Market
24%
Market Model
23%
Equity Markets
22%
Characterization
18%
Coefficients
17%