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20112026
most citedThe implied volatility surface (also) is path-dependent

3 citations · 9 across the 9 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…