Extended Libor market models with stochastic volatility
Leif Andersen; Rupert Brotherton-Ratcliffe
| Year of publication: |
2005
|
|---|---|
| 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: | Zinsstruktur | Yield curve | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003191097