MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS

DOI10.1142/S0219024909005300zbMath1178.91186OpenAlexW3125691864MaRDI QIDQ5193007

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Publication date: 10 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005300

zbMATH Keywords

LIBOR market modeldisplaced diffusionswaptionMarkovian projectionvolatility skewcross-currency model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• LIBOR and swap market models and measures
• Volatility skews and extensions of the Libor market model
• Stochastic Volatility Model with Time‐dependent Skew