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Tangent models as a mathematical framework for dynamic calibration
Carmona, René; Nadtochiy, Sergey - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 107-135
Persistent link: https://www.econbiz.de/10008908384
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Tangent Lévy market models
Carmona, René; Nadtochiy, Sergey - In: Finance and stochastics 16 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009423250
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Interest rate models : an infinite dimensional stochastic analysis perspective
Carmona, René; Tehranchi, Michael R. - 2006
Persistent link: https://www.econbiz.de/10003042088
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Numerical methods in finance : Bordeaux, June 2010
Carmona, René (ed.); Del Moral, Pierre (ed.); Hu, Peng (ed.) - 2012
Persistent link: https://www.econbiz.de/10009532927
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Paris-Princeton lectures on mathematical finance ; 4.2010
Cousin, Areski (contributor); Carmona, René (contributor) - 2011
Persistent link: https://www.econbiz.de/10009349792
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Local variance gamma and explicit calibration to option prices
Carr, Peter; Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 151-193
Persistent link: https://www.econbiz.de/10011739451