SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SABR/LIBOR market models: pricing and calibration for some interest rate derivatives |
scientific article |
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
