A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (Q4647291)
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scientific article; zbMATH DE number 7001628
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation |
scientific article; zbMATH DE number 7001628 |
Statements
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (English)
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14 January 2019
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LIBOR market model
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stochastic instantaneous volatilities
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European swaption
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term structure of volatilities
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