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A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles · Study

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PreprintA Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles

Vladimir Piterbarg2003

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Preprintgreen2003

A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles

Vladimir Piterbarg

57 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk Management in Financial Firms

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References

1997The Market Model of Interest Rate Dynamics 2001Interest Rate Models Theory and Practice 1997Martingale Methods in Financial Modelling 1997LIBOR and swap market models and measures 2000Introduction and Summary of Results (Excerpt)2000The Term Structure of Implied Volatility 2000Volatility skews and extensions of the Libor market model 2003The Term Structure of Simple Forward Rates with Jump Risk

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2019LIBOR market model with SABR style stochastic volatility

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2004Review Paper. Interest–rate term–structure pricing models: a reviewarticle · 9 shared references 2006THEORY AND CALIBRATION OF SWAP MARKET MODELSarticle · 7 shared references 2003A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Modelspreprint · 7 shared references 2012THE AFFINE LIBOR MODELSarticle · 6 shared references 2009Interest rates in quantum finance: The Wilson expansion and Hamiltonianarticle · 5 shared references 2004Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Modelpreprint · 5 shared references

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Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations57

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.472061

openalex_workW2152243649

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