Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion

By Pierre-Edouard Arrouy, Paul Bonnefoy, and Alexandre Boumezoued
12 June 2017

About the Author(s)

Pierre-Edouard Arrouy

Paris Tel: 33 1 42991560

View bio

Paul Bonnefoy

Paris Tel: 33 1 42991560

View bio

Alexandre Boumezoued

Paris Tel: 33 1 42991560

View bio

Contact us

We’re here to help you break through complex challenges and achieve next-level success.