Stochastic volatility for interest rate derivatives (Q2879042)

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Stochastic volatility for interest rate derivatives
scientific article

    Statements

    title
    Stochastic volatility for interest rate derivatives (English)
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    author
    Linus Kaisajuntti
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    Joanne Kennedy
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    publication date
    5 September 2014
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    zbMATH Keywords
    interest rate derivatives
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    stochastic volatility
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    interest rate modelling
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    LIBOR market models
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    market dynamics
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    91B70
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    zbMATH DE Number
    6340781
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    OpenAlex ID
    W3125090364
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