Multicurve LIBOR market models and drift-free simulation

  1. Fernández, J.L.
  2. Nogueiras, M.R.
  3. Pou, M.
  4. Vázquez, C.
Journal:
International Journal of Computer Mathematics

ISSN: 1029-0265,  0020-7160

Year of publication: 2017

Volume: 94

Issue: 11

Pages: 2194-2207

Type: Article

DOI: 10.1080/00207160.2016.1247440 GOOGLE SCHOLAR
Data source: Scopus