Fast and Accurate Greeks for the Libor Market Model

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  • Fast and Accurate Greeks for the Libor Market Model

Fast and Accurate Greeks for the Libor Market Model

Denson, Nick, Joshi, Mark S.
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Year:
2009
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1448333
File:
PDF, 367 KB
english, 2009
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