Stochastic volatility model with time-dependent skew

Applied Mathematical Finance

Volumn 12, Issue 2, 2005, Pages 147-185

  Piterbarg, Vladimir V ^a,b  

^a Bank of America   (United Kingdom)

^b Bank of America   (United Kingdom)

Author keywords

Average skew; Averaging principle; BGM; Effective media; Effective skew; Effective volatility; Forward Libor model; Homogenization; Libor market model; LMM; Stochastic volatility; Time dependent local volatility; Volatility calibration; Volatility smile

Indexed keywords

EID: 22144482358     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486042000297225     Document Type: Article

References (7)

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5. Piterbarg, V. V. (2003) A practitioner's guide to pricing and hedging callable LIBOR exotics in forward LIBOR models, SSRN Working paper.
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