Rupert Brotherton-Ratcliffe

Gen Re Securities

Rockefeller Center

630 Fifth Avenue, Suite 450

New York, NY 10111

United States

  • Gen Re Securities

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Extended Libor Market Models with Stochastic Volatility

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Citation 45

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 Merrill Lynch and Gen Re Securities
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Citation 45

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Volatility smiles, stochastic volatility, Libor market model, asymptotic expansions, ADI finite differences, Monte Carlo simulation

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 Merrill Lynch and Gen Re Securities

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Stochastic volatility, Libor market model, Andersen and Andreasen, nonparametic, CEV Formulation, mean-reverting, European option prices, Monte Carlo