Libor model with expiry-wise stochastic volatility and displacement
نویسندگان
چکیده
منابع مشابه
Libor model with expiry-wise stochastic volatility and displacement
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise, each square-root process can be calibrated to the corresponding cap(let)vola-strike panel at the market. However, since even after freezing the Libors in the ...
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ژورنال
عنوان ژورنال: International Journal of Portfolio Analysis and Management
سال: 2013
ISSN: 2048-2361,2048-237X
DOI: 10.1504/ijpam.2013.054401