luc faucheux

volatility ito rates brownian motors stochastic options stochastic calculus diffusion risk management brownian motion thermal ratchets correlation affine models risk convexity fx leibniz martingale yield curve ho-lee hjm expectation swaps yield gaussian calculus callable smile skew stratanovitch puzzle games group theory entropy stratonovitch inhomogeneous diffusion statistics greeks pl explain taylor chemotaxy maxwell demon hedging macro blues brothers chicago mayfair novikov radon-nikodym inflation triangle gödel inception fubini interest rates measure isometry time travel zero coupons ricatti show rate models forward rates #bond #swap #fixedincome #ratesmodeling #libor #yieldcurve #rates basis discount portfolio advection sde pde pdf digital options curve inversion structured notes formosa lehman pricing mean-reversion binomial bdt replication bachelier black-scholes monte carlo sabr heston saint malo pavliotis halperin langevin