Fast calibration of the Libor market model with stochastic volatility and displaced diffusion-Reference-Cited by-同舟云学术

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Fast calibration of the Libor market model with stochastic volatility and displaced diffusion

Published:2020 Issue:4 Volume:16 Page:1699-1729
ISSN:1553-166X
Container-title:Journal of Industrial & Management Optimization
language:en
Short-container-title:

Author:

Devineau Laurent, ,Arrouy Pierre-Edouard,Bonnefoy Paul,Boumezoued Alexandre,

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management,Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management

Cited by 2 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. Economic Scenario Generators: a risk management tool for insurance;MathematicS In Action;2022-09-27

2. Jacobi stochastic volatility factor for the LIBOR market model;Finance and Stochastics;2022-09-19

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