A flexible matrix Libor model with smiles
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Publication:318337
DOI10.1016/j.jedc.2012.11.006zbMath1348.91267arXiv1203.4786OpenAlexW3123342371MaRDI QIDQ318337
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
Publication date: 5 October 2016
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.4786
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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