Libor Market Model for pricing derivatives on two interest rate curves

Fernández Pérez, J.L.Pou Bueno, MartaRodríguez Nogueiras, MaríaVázquez, Carlos2014-10-012014-10-012010Numerical Simulation in Physics and Engineering. Proceedings of the XIV Spanish-French Jacques-Luis Lions School, 2010: 315-316. ISBN: 978-84-9749-420-5978-84-9749-420-5http://hdl.handle.net/2183/13104engLibor Market Model for pricing derivatives on two interest rate curvesconference outputopen access