But what one should check is this chain: Take two future dates and calculate, for that specific model (be it a stochastic volatility model, a stochastic local volatility model, or a jump-diffusion process), the joint probabilities of being at S1 at time T1 and S2 at time T2. This calculation must b...

Thank you very much, Daniel. I appreciate your insights, and I believe they are particularly suitable for my paper. Indeed the presented methodology involves several steps: 1) defining the forward transition matrix; 2) ensuring that the forward transition matrix satisfies a set of constraints (in C...

I have understood and absorbed your comment. Thanks very much for that.  I have a clear understanding of your observation, which seems to me a crucial point. It's a question that needs to be clarified thoroughly, and I agree. I will certainly follow your suggestion. In fact, if the framework proves...

First of all, thank you for reading my paper and for the insightful comments! The recap by Alan is absolutely correct. Compared to the paper, the only change is the language used. In my paper, I prefer to refer to the concept of the forward transition matrix, but it's almost the same (but see point...

I would like to share my recent article about a theory of (pricing) models. The goal is to propose a new way to manage model risk, to find maximum and minimum limits for an exotic price (infact everything agrees on plain vanilla prices by all people have different views on exotic quotes, that is th...

I would like to share my recent article about a theory of (pricing) models. The goal is to propose a new way to manage model risk, to find maximum and minimum limits for an exotic price (infact everything agrees on plain vanilla prices by all people have different views on exotic quotes, that is the...