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20122018
most citedSolvency assessment within the ORSA framework: issues and quantitative methodologies

7 citations · 7 across the 1 of their papers we have counts for

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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…