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Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model - MaRDI portal

Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model (Q4626522)

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scientific article; zbMATH DE number 7030717
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English
Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
scientific article; zbMATH DE number 7030717

    Statements

    title
    Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model (English)
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    author
    José G. López-Salas
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    Carlos Vázquez
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    publication date
    28 February 2019
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65M55
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    91G20
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    91G30
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    zbMATH DE Number
    7030717
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    OpenAlex ID
    W2755264433
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