38 citations · 44 across the 17 of their papers we have counts for
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q-fin.TR2015
Liquidity Effects of Trading Frequency
Roman Gayduk, Sergey Nadtochiy
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple…
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.…