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by michelleBN
October 13th, 2011, 1:27 pm
Forum: Technical Forum
Topic: Piterbarg's Stochastic Vol Libor Market Model (urgent-please help!)
Replies: 8
Views: 90452

Piterbarg's Stochastic Vol Libor Market Model (urgent-please help!)

Hello,I am working on this paper too, and the implementation is not working well either. Do you know why can we make this approximation: g(x) ~ a+b exp(-cx) ? with calculations, we realize that g''(x)/g'(x) is not a constant.Any response, will be much appreciated!Thanks in advance.