Fast Greeks by Simulation in Forward Libor Models

Jul 25

Posted by abiao at 08:21 | Code » C++ | Comments(0) | Reads(3922)

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)

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