Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jul 25

Fast Greeks by Simulation in Forward Libor Models

Posted by abiao at 08:21 | Code » C++ | Comments(1) | Reads(8942)
Fast Greeks by Simulation in Forward Libor Models  by Prof. Glasserman, paper and code can be downloaded at:

http://www.gsb.columbia.edu/faculty/pglasserman/Other/grklibor.pdf

http://www.gsb.columbia.edu/faculty/pglasserman/Other/greeks_code.zip


wiki(libor)


Tags: ,
Hey Dear, I have tried to download the code you have shared above but the trouble is happening there. I need the updated version if it. Please share here if you have. will be waiting for your's response.
Regards:Best logo Designer

Regards: Best logo Designer
Pages: 1/1 First page 1 Final page
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]