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Quantitative Finance Volume 8, 2008 - Issue 4
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Research Papers

New and robust drift approximations for the LIBOR market model

Mark Joshi Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, AustraliaCorrespondence[email protected]
&
Alan Stacey Lehman Brothers International (Europe), 25 Bank Street, London E14 5LE, UK
Pages 427-434 | Received 07 Feb 2006, Accepted 17 May 2007, Published online: 12 Jun 2008

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