Jacobi stochastic volatility factor for the LIBOR market model (Q2675815)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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