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New and Robust Drift Approximations for the Libor Market Model · Study

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ArticleNew and Robust Drift Approximations for the Libor Market Model

Mark S. Joshi2006

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Articlegreen2006

New and Robust Drift Approximations for the Libor Market Model

Mark S. Joshi · Alan M. Stacey

29 citations·0/0 files stored·Quantitative Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Numerical methods for differential equations

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References

2007Brownian Motion and Stochastic Calculus 2003Monte Carlo Methods in Financial Engineering 1998Brownian Motion and Stochastic Calculus 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 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates

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Year2006

Typearticle

Published2006-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1080/14697680701458000

openalex_workW3124010724

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