Lognormal forward market model (LFM) volatility function approximation

DOI10.1007/978-3-642-03479-4_19zbMATH Open1230.91200OpenAlexW166230920MaRDI QIDQ3000891FDOQ3000891

Authors: In-Hwan Chung, Tim Dun, Erik Schlögl 

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_19

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zbMATH Keywords

simulationlognormal forward ratevolability function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Cited In (2)

• Log-Modulated Rough Stochastic Volatility Models
• Efficient long-dated swaption volatility approximation in the forward-LIBOR model

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