Valentin Tissot-Daguette
- Pricing with Passion: The Local Occupied Volatility (LOV) Model
2026/04/28 by Valentin Tissot-Daguette, Valentin Tissot‐Daguette · 1 voice
Economics, Econometrics and Finance · #Calibration #Capital Investment and Risk Analysis #Complex Systems and Time Series Analysis #Forward volatility #Implied volatility #Local volatility #Stochastic processes and financial applications #Stochastic volatility #Stylized fact #Volatility (finance) #Volatility smile #q-fin.CP #q-fin.MF #q-fin.PR
- Bid--Ask Martingale Optimal Transport
2026/03/14 by Bryan Liang, Marcel Nutz, Shunan Sheng +1 · 1 voice
Economics, Econometrics and Finance · Mathematics · #q-fin.MF #math.FA #math.OC #math.PR #q-fin.PR