Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model

  1. German Lopez-Salas, Jose
  2. Vazquez Cendon, Carlos
Book Series:
NOVEL METHODS IN COMPUTATIONAL FINANCE
  1. Ehrhardt, M (coord.)
  2. Gunther, M (coord.)
  3. TerMaten, EJW (coord.)

ISSN: 1612-3956

ISBN: 978-3-319-61282-9,  978-3-319-61281-2

Year of publication: 2017

Volume: 25

Pages: 477-500

Type: Book chapter

DOI: 10.1007/978-3-319-61282-9_27 GOOGLE SCHOLAR
Data source: WoS