A displaced-diffusion stochastic volatility LIBOR market model: Motivation, definition and implementation

Quantitative Finance

Volumn 3, Issue 6, 2003, Pages 458-469

  Joshi, Mark S ^a   Rebonato, Riccardo ^a,b  

^a ROYAL BANK OF SCOTLAND   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0346331739     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1088/1469-7688/3/6/305     Document Type: Article

References (25)

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