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The Generalized Local Volatility Modelling Framework

https://doi.org/10.2139/ssrn.3110542
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17/17 checkable references clean · checked 2026-08-27

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 17 checked references that resolve
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Calibration and Implementation of Convertible Bond Models
resolves10.1093/benz/9780199773787.article.b00021593
Boeck, Felix de
resolves10.3905/jod.2003.319208
Valuation of Convertible Bonds With Credit Risk
resolves10.1201/b19649
Stochastic Volatility Modeling
resolves10.1111/1467-9965.00028
The Market Model of Interest Rate Dynamics
resolves10.1086/296025
Prices of State-Contingent Claims Implicit in Option Prices
resolves10.2139/ssrn.2639318
Volatility and Dividends II: Consistent Cash Dividends
resolves10.1080/14697680400000039
From local volatility to local Lévy models
resolves10.1017/cbo9780511569708.013
Towards a Theory of Volatility Trading
resolves10.1016/j.jfa.2010.04.017
Change of variable formulas for non-anticipative functionals on path space
resolves10.1214/11-aop721
Functional Itô calculus and stochastic integral representation of martingales
resolves10.1201/9780203485217.sec1
Basic tools
resolves10.2139/ssrn.2224876
How to Make Dupire's Local Volatility Work with Jumps
resolves10.2139/ssrn.1295882
Incorporating an Interest Rate Smile in an Equity Local Volatility Model
resolves10.1201/9781420087000.ch1
Introduction
resolves10.1007/s007800050026
LIBOR and swap market models and measures
resolves10.3905/jod.2005.605354
Stocks Paying Discrete Dividends
The 8 references without a DOI — listed, not checked
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no DOI — not checkedref10
no DOI — not checkedCounterparty Risk and Funding: A Tale of Two Puzzles
no DOI — not checkedref18
no DOI — not checkedref20
no DOI — not checkedref25
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