A two-regime, stochastic-volatility extension of the LIBOR market model

International Journal of Theoretical and Applied Finance

Volumn 7, Issue 5, 2004, Pages 555-575

  Rebonato, Riccardo ^a,b   Kainth, Dherminder ^a  

^a Roy Bank Scotland Grp Risk   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Fitting to caplet prices; LIBOR market model; Markov processes; Regime shift; Stochastic volatility

Indexed keywords

EID: 7444258522     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024904002591     Document Type: Article

References (12)

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