Markovian Projection onto a Displaced Diffusion: Generic Formulas with Applications

LIBOR and swap market models and measures

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Business, Economics, Finance +11

Mimicking the one-dimensional marginal distributions of processes having an ito differential

István Gyöngy · Probability Theory and Related Fields · 1986 · 311 citations · Full text

Engineering, Mathematics, Stochastic Modeling +11

Volatility skews and extensions of the Libor market model

Leif B. G. Andersen, Jesper Andreasen · Applied Mathematical Finance · 2000 · 257 citations

Business, Economics, Asset Pricing +16

Stochastic Volatility Model with Time‐dependent Skew

Vladimir Piterbarg · Applied Mathematical Finance · 2005 · 91 citations

Business, Finance, Stochastic Modeling +15

Volatility Skews and Extensions of the Libor Market Model

Leif B. G. Andersen, Jesper Andreasen · SSRN Electronic Journal · 1998 · 83 citations · Full text

Business, Economics, Asset Pricing +16