Jacobi stochastic volatility factor for the LIBOR market model
Year of publication: |
2022
|
---|---|
Authors: | Arrouy, Pierre-Edouard ; Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 4, p. 771-823
|
Subject: | Expansion series | Gram-Charlier expansion | Jacobi dynamics | LIBOR market model | Polynomial processes | Stochastic volatility | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative |
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