A two-regime, stochastic-volatility extension of the libor market model
Year of publication: |
2004
|
---|---|
Authors: | Rebonato, Riccardo ; Kainth, Dherminder |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 7.2004, 5, p. 555-575
|
Subject: | Geldmarkt | Money market | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Zinsstruktur | Yield curve |
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