Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion.
Displaced Diffusion, Edgeworth expansions, Gram-Charlier expansions, Libor Market Model, Model calibration, Stochastic Volatility, Swaption pricing
Fast calibration of the Libor market model with stochastic volatility and displaced diffusion.
Displaced Diffusion, Edgeworth expansions, Gram-Charlier expansions, Libor Market Model, Model calibration, Stochastic Volatility, Swaption pricing