A new parameterization for the drift-free simulation in the Libor Market Model
- Fernández, J.L.
- Nogueiras, M.R.
- Pou, M.
- Vázquez, C.
ISSN: 1579-1505, 1578-7303
Year of publication: 2015
Volume: 109
Issue: 1
Pages: 73-92
Type: Article
Journal:
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas