LIBOR market model with stochastic volatility

DOI10.3934/jimo.2006.2.199zbMath1135.91363OpenAlexW2001061905MaRDI QIDQ2494608

Lixin Wu, Fan Zhang

Publication date: 14 July 2006

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2006.2.199

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Auctions, bargaining, bidding and selling, and other market models (91B26)

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