LIBOR market model with stochastic volatility

By Lixin Wu, Fan Zhang. 2006

75 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d119f9f78ee9c161fe74856b61ed317caffd963e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Fabio Mercurio
2. Daniel Sevcovic

In Finance

1. Fabio Mercurio
2. Daniel Sevcovic

Citations in the corpus

• Interest Rates and The Credit Crunch: New Formulas and Market Models (2009, unknown): “The derivation of pricing formulas for caps and swaptions is then highlighted in the specific case of the Wu and Zhang (2006) model.”
• LIBOR Market Models with Stochastic Basis (2010, background): “…local-volatility formulation and by a number of authors who assumed stochastic volatility, see e.g. Andersen and Andreasen (2002), Piterbarg (2005), Wu and Zhang (2006), Zhu (2007), Henry-Labordère (2007), Rebonato (2007), Hagan and Lesniewski (2008), Mercurio and Morini (2007, 2009) and Rebonato…”