MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS (Q5193007): Difference between revisions
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| Property / cites work: Volatility skews and extensions of the Libor market model / rank | |||
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| Property / cites work: Mimicking the one-dimensional marginal distributions of processes having an Ito differential / rank | |||
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| Property / cites work: LIBOR and swap market models and measures / rank | |||
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| Property / cites work: Stochastic Volatility Model with Time‐dependent Skew / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024909005300 / rank | |||
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Latest revision as of 09:37, 30 July 2024
scientific article; zbMATH DE number 5593342
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS |
scientific article; zbMATH DE number 5593342 |
Statements
MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS (English)
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10 August 2009
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Markovian projection
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displaced diffusion
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LIBOR market model
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cross-currency model
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swaption
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volatility skew
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