Listar GI-M2NICA - Libros, capítulos, etc. por autor "López Salas, José Germán"
Mostrando ítems 1-1 de 1
-
Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
López Salas, José Germán; Vázquez, Carlos (Springer, 2017-09-20)[Abstract]: SABR models have been used to incorporate stochastic volatility to LIBOR market models (LMM) in order to describe interest rate dynamics and price interest rate derivatives. From the numerical point of view, ...