Lognormal Forward Market Model (LFM) Volatility Function Approximation

DOI10.1007/978-3-642-03479-4_19zbMath1230.91200OpenAlexW166230920MaRDI QIDQ3000891

Erik Schlögl, Tim Dun, In-Hwan Chung

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_19

zbMATH Keywords

simulationlognormal forward ratevolability function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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