Volatility skews and extensions of the Libor market model (Q4541584): Difference between revisions

@@ Property / author @@
+Leif B. G. Andersen
@@ Property / author: Leif B. G. Andersen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/135048600450275
+Normal rank
@@ Property / OpenAlex ID @@
+W3122203501
@@ Property / OpenAlex ID: W3122203501 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4714465
@@ Property / cites work: Q4714465 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Q4794153
@@ Property / cites work: Q4794153 / rank @@
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@@ Property / cites work @@
+Arbitrage-free discretization of lognormal forward Libor and swap rate models
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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+An equilibrium characterization of the term structure
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