Title:

A Flexible Matrix Libor Model with Smiles

Authors:

José da Fonseca (Auckland U Technology)
Alessandro Gnoatto (U Munich, U Padova)
Martino Grasselli (U Padova)

Journal:

Journal of Economic Dynamics and Control

Year:

2013

Volume:

37

Number:

4

Pages:

774-793

JEL code:

G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.jedc.2012.11.006