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Explicit constructions of martingales calibrated to given implied volatility smiles
Peter Carr, Laurent Cousot
Finance and Risk Engineering
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peer-review
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Dive into the research topics of 'Explicit constructions of martingales calibrated to given implied volatility smiles'. Together they form a unique fingerprint.
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Mathematics
Calibration
14%
Continuous Time
11%
Continuum
11%
Embedding Problem
16%
Financial Mathematics
17%
Implied Volatility
97%
Integro-differential Equation
12%
Interpolate
10%
Intuitive
12%
Jump Diffusion
34%
Marginal Distribution
67%
Market
13%
Martingale
62%
Necessary Conditions
7%
Skorokhod Problem
20%
Sufficient Conditions
6%
Valuation
13%
Business & Economics
Calibration
13%
Continuous Time
13%
Financial Mathematics
19%
Implied Volatility Smile
100%
Implied Volatility Surface
19%
Integro-differential Equation
19%
Interpolation
16%
Jump Diffusion
34%
Martingale
77%
Maturity
11%
Engineering & Materials Science
Calibration
25%
Integrodifferential equations
47%
Interpolation
27%