Denis Belomestny, Stanley Mathew, John Schoenmakers. Multiple stochastic volatility extension of the Libor market model and its implementation. Monte Carlo Meth. and Appl., 15(4):285-310, 2009. [doi]
@article{BelomestnyMS09,
title = {Multiple stochastic volatility extension of the Libor market model and its implementation},
author = {Denis Belomestny and Stanley Mathew and John Schoenmakers},
year = {2009},
doi = {10.1515/MCMA.2009.016},
url = {http://dx.doi.org/10.1515/MCMA.2009.016},
researchr = {https://researchr.org/publication/BelomestnyMS09},
cites = {0},
citedby = {0},
journal = {Monte Carlo Meth. and Appl.},
volume = {15},
number = {4},
pages = {285-310},
}