Peter Cotton

Morgan Stanley & Co. Inc.

1585 Broadway

New York, NY 10036

United States

Stanford University - Department of Mathematics

Stanford, CA 94305

United States

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Stochastic Volatility Corrections for Interest Rate Derivatives

Mathematical Finance, Vol. 14, No. 2, pp. 173-200, April 2004
Number of pages: 28 Posted: 06 May 2004
Morgan Stanley & Co. Inc., North Carolina State University - Department of Mathematics, Stanford University - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
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Abstract:

Stochastic volatility, interest rate models, asymptotic expressions