Volatility skews and extensions of the Libor market model

DOI10.1080/135048600450275zbMath1013.91041OpenAlexW3122203501MaRDI QIDQ4541584

Jesper Andreasen, Leif B. G. Andersen

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048600450275

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Auctions, bargaining, bidding and selling, and other market models (91B26)

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