QuantLib
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Software:56285
swMATH40585MaRDI QIDQ56285FDOQ56285
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Source code repository: https://github.com/lballabio/QuantLib
Cited In (4)
- Implied stopping rules for American basket options from Markovian projection
- Brownian Bridge and Other Path-dependent Gaussian Processes Vectorial Simulation
- Simulation and evaluation of the distribution of interest rate risk
- Reducing transaction costs for interest rate risk hedging with stochastic programming
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