MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS (Q5193007)
From MaRDI portal
scientific article; zbMATH DE number 5593342
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS |
scientific article; zbMATH DE number 5593342 |
Statements
MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS (English)
0 references
10 August 2009
0 references
Markovian projection
0 references
displaced diffusion
0 references
LIBOR market model
0 references
cross-currency model
0 references
swaption
0 references
volatility skew
0 references
