SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6574850
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | SABR/LIBOR market models: pricing and calibration for some interest rate derivatives |
scientific article; zbMATH DE number 6574850 |
Statements
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (English)
0 references
28 April 2016
0 references
SABR/LIBOR market models
0 references
calibration
0 references
parallel simulated annealing
0 references
GPUs
0 references
CUDA
0 references
0 references
0 references
0 references
0 references
0.8397481441497803
0 references
0.8358873128890991
0 references
0.8200237154960632
0 references
0.8167619705200195
0 references
