SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498)
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scientific article; zbMATH DE number 6574850
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SABR/LIBOR market models: pricing and calibration for some interest rate derivatives |
scientific article; zbMATH DE number 6574850 |
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SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (English)
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28 April 2016
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SABR/LIBOR market models
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calibration
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parallel simulated annealing
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GPUs
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CUDA
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