Interpolation schemes in the displaced-diffusion LIBOR market model

DOI10.1137/100788008MaRDI QIDQ4902227zbMATHOpenAlexFDO

Authors Christopher Beveridge, Mark Joshi

Publication date 25 January 2013

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100788008

zbMATH Keywords

interpolationLIBOR market model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
• The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM

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