Gianvittorio Mauri

Banca IMI

Corso Matteotti 6

20121 Milano, 20100

Italy

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Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews

EFA 2001 Barcelona Meetings
Number of pages: 21 Posted: 11 Jul 2001
Damiano Brigo, Gianvittorio Mauri and Fabio Mercurio
Imperial College London - Department of Mathematics, Banca IMI and Bloomberg L.P.
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