1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.OC2020★ 1 cited
Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient
Hervé Andres, Pierre-Edouard Arrouy, Paul Bonnefoy +2
We propose to take advantage of the common knowledge of the characteristic function of the swap rate process as modelled in the LIBOR Market Model with Stochastic Volatility and Di…
q-fin.CP2017
Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy +1
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusi…