A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

DOI10.1088/1469-7688/3/6/305zbMath1405.91662OpenAlexW1978187545MaRDI QIDQ4647291

Mark S. Joshi, Riccardo Rebonato

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/3/6/305

zbMATH Keywords

LIBOR market modelEuropean swaptionstochastic instantaneous volatilitiesterm structure of volatilities

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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