Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Brigo:2003,
author = {Brigo, D and Mercurio, F},
journal = {Quantitative Finance},
title = {Analytical pricing of the smile in a forward LIBOR market model},
volume = {3},
year = {2003}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AU - Brigo,D
AU - Mercurio,F
PY - 2003///
TI - Analytical pricing of the smile in a forward LIBOR market model
T2 - Quantitative Finance
VL - 3
ER -