most citedFast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient

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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…