Volatility Skews and Extensions of the Libor Market Model-Reference-Cited by-同舟云学术

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Volatility Skews and Extensions of the Libor Market Model

Published:1998 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andersen Leif B.G.,Andreasen Jesper

Publisher

Elsevier BV

Reference28 articles.

1. Efficient Techniques for Simulation of Interest Rate Models involving NonLinear Stochastic Differential Equations;L Andersen;General Re Financial Products,1995

2. Stochastic Differential Equations as Dynamical Systems

3. The Pricing of Commodity Contracts;F Black;Journal of Financial Economics,1976

4. Handbook of Brownian Motion — Facts and Formulae

5. Simulation Methods for Security Pricing;P Boyle;Journal of Economic Dynamics and Control,1997

Cited by 22 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stochastic Interest Rate Modeling: An Empirical Performance Analysis of the L vy Forward Price Model;SSRN Electronic Journal;2018

2. References;The SABR/LIBOR Market Model;2015-09-26

3. Bibliography;Volatility and Correlation;2013-04-15

4. The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship;Quantitative Finance;2013-03

5. The Nature of the Dependence of Magnitude of Rate Moves on the Rates Levels: A Universal Relationship;SSRN Electronic Journal;2010

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