Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

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

10 references·1 citing·35 second hop

FromToDepth

this work references cited by second hop

References

1997The Market Model of Interest Rate Dynamics1,175 cited
2001Interest Rate Models Theory and Practice1,148 cited
1997Martingale Methods in Financial Modelling1,085 cited
1997LIBOR and swap market models and measures746 cited
2000Introduction and Summary of Results (Excerpt)516 cited
2000The Term Structure of Implied Volatility516 cited
2000Volatility skews and extensions of the Libor market model277 cited
2003The Term Structure of Simple Forward Rates with Jump Risk175 cited
2005Extended Libor market models with stochastic volatility163 cited
2002Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond152 cited

Cited by

2019LIBOR market model with SABR style stochastic volatility37 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work