1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2015
Simulation of Implied Volatility Surfaces via Tangent Levy Models
Rene Carmona, Yi Ma, Sergey Nadtochiy
In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy.…
math.PR2012★ 1 cited
Mean Field Forward-Backward Stochastic Differential Equations
Rene Carmona, Francois Delarue
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. The…