Extended Libor market models with stochastic volatility
Year of publication: |
2005
|
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Authors: | Andersen, Leif B. G. ; Brotherton-Ratcliffe, Rupert |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 9.2005, 1, p. 1-40
|
Subject: | Volatilität | Volatility | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zins | Interest rate |
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