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"Multiple stochastic volatility extension of the Libor market model and its ..."

Denis Belomestny, Stanley Mathew, John Schoenmakers (2009)

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DOI: 10.1515/MCMA.2009.016

access: closed

type: Journal Article

metadata version: 2020-07-03

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Denis Belomestny, Stanley Mathew, John Schoenmakers:
Multiple stochastic volatility extension of the Libor market model and its implementation. Monte Carlo Methods Appl. 15(4): 285-310 (2009)

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