Jacobi stochastic volatility factor for the LIBOR market model (Q2675815): Difference between revisions

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Revision as of 04:56, 30 July 2024

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Jacobi stochastic volatility factor for the LIBOR market model
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    Jacobi stochastic volatility factor for the LIBOR market model (English)
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    26 September 2022
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    stochastic volatility
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    Jacobi dynamics
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    expansion series
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    Gram-Charlier expansion
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    polynomial processes
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    LIBOR market model
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