A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

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    Author
    Joshi, MS; Rebonato, R
    Date
    2003-12-01
    Source Title
    Quantitative Finance
    Publisher
    IOP PUBLISHING LTD
    University of Melbourne Author/s
    Joshi, Mark
    Affiliation
    Economics
    Metadata
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    Document Type
    Journal Article
    Citations
    Joshi, M. S. & Rebonato, R. (2003). A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation. QUANTITATIVE FINANCE, 3 (6), pp.458-469. https://doi.org/10.1088/1469-7688/3/6/305.
    Access Status
    This item is currently not available from this repository
    URI
    http://hdl.handle.net/11343/27927
    DOI
    10.1088/1469-7688/3/6/305
    Description

    C1 - Refereed Journal Article
    Keywords
    Banking; Finance and Investment

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