Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598)
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scientific article; zbMATH DE number 5668433
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| English | Multiple stochastic volatility extension of the Libor market model and its implementation |
scientific article; zbMATH DE number 5668433 |
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Multiple stochastic volatility extension of the Libor market model and its implementation (English)
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10 February 2010
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Libor modeling
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stochastic volatility
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CIR processes
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calibration
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0.93282306
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0.9295664
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0.9208747
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0.9001655
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0.89947677
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0.8948226
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0.88723415
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0.8867375
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