Rupert Brotherton-Ratcliffe

Gen Re Securities

Rockefeller Center

630 Fifth Avenue, Suite 450

New York, NY 10111

United States

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Extended Libor Market Models with Stochastic Volatility

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Citation 47

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Extended Libor Market Models with Stochastic Volatility

Number of pages: 43 Posted: 31 Dec 2001

Leif B. G. Andersen and Rupert Brotherton-Ratcliffe

Bank of America and Gen Re Securities

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Citation 47

Abstract:

Extended Libor Market Models with Stochastic Volatility

Journal of Computational Finance, Vol. 9, No. 1, Fall 2005

Posted: 13 Nov 2005

Leif B. G. Andersen and Rupert Brotherton-Ratcliffe

Bank of America and Gen Re Securities

Abstract:

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