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Fitting Local Volatility: Analytic And Numerical Approaches In Black-scholes And Local Variance Gamma Models
Language: en
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Authors: Andrey Itkin
Categories: Business & Economics
Type: BOOK - Published: 2020-01-22 - Publisher: World Scientific

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The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature
Fitting Local Volatility
Language: en
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Generalized Integral Transforms In Mathematical Finance
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This book describes several techniques, first invented in physics for solving problems of heat and mass transfer, and applies them to various problems of mathem
Local Variance Gamma Revisited
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In this paper we develop a new method for implied volatility surface construction for FX options. The methodology is based on the local variance gamma model dev
Option Pricing Models and Volatility Using Excel-VBA
Language: en
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Authors: Fabrice D. Rouah
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Type: BOOK - Published: 2012-06-15 - Publisher: John Wiley & Sons

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This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website i