Listar por autor "Pou Bueno, Marta"
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Drift-free simulation and libor market models
Pou Bueno, Marta (2013)[Abstract] In this work, an efficient procedure to simulate the stochastic dynamics of Libor Market Model that avoids the use of the path dependent drifts in Monte Carlo simulation is proposed. For this purpose, we follow ... -
Libor Market Model for pricing derivatives on two interest rate curves
Fernández Pérez, J.L.; Pou Bueno, Marta; Rodríguez Nogueiras, María; Vázquez, Carlos (Universidade da Coruña, 2010)