A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

By Mark S. Joshi, R. Rebonato. 2003

61 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a2bab61246360e75f7033bcb4c525e7c998642dc

How researchers see this paper

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In Finance

1. Wim Schoutens
2. Marceau Decamps
3. Marc J. Goovaerts
4. W. Reed
5. Jan Dhaene
6. Michel Denuit
7. Gianluca Fusai
8. Rob Kaas

Citations in the corpus

• Self Exciting Threshold Interest Rates Models (2006, background): “Mercurio (2004) proposes to mix shifted lognormal models with volatility σ̃(x) = x − γ, see also Joshi and Rebonato (2003).”