Open AccessNew and Robust Drift Approximations for the Libor Market Model
Author(s) -
Mark S. Joshi,
Alan Stacey
Publication year - 2006
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.907385
Subject(s) - libor , libor market model , econometrics , economics , financial economics , mathematical economics , mathematics , interest rate , finance , volatility (finance)
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