Numerical solution of jump-diffusion LIBOR market models
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Publication:1424699
DOI10.1007/s007800200076zbMath1035.60047MaRDI QIDQ1424699
Paul Glasserman, Nicolas Merener
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200076
65C05: Monte Carlo methods
91G30: Interest rates, asset pricing, etc. (stochastic models)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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