ListarGI-M2NICA - Congresos, conferencias, etc. por tema "Market model calibration"
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Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
(Springer, 2016)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ...