SABR/LIBOR market models: pricing and calibration for some interest rate derivatives

DOI10.1016/J.AMC.2014.05.017zbMath1335.91093OpenAlexW2022524501MaRDI QIDQ279498

Ana M. Ferreiro, José A. García-Rodríguez, José G. López-Salas, Carlos Vázquez

Publication date: 28 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.05.017

zbMATH Keywords

calibrationCUDAGPUsparallel simulated annealingSABR/LIBOR market models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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