Browsing GI-M2NICA - Congresos, conferencias, etc. by Subject "SABR/LIBOR market models"
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Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives
(Springer, 2015)[Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different models ...