Multicurve LIBOR market models and drift-free simulation

J. L. Fernández, Maria R. Nogueiras, M. Pou, Carlos Vázquez. Multicurve LIBOR market models and drift-free simulation. Int. J. Comput. Math., 94(11):2194-2207, 2017. [doi]

Authors

J. L. Fernández

This author has not been identified. Look up 'J. L. Fernández' in Google

Maria R. Nogueiras

This author has not been identified. Look up 'Maria R. Nogueiras' in Google

M. Pou

This author has not been identified. Look up 'M. Pou' in Google

Carlos Vázquez

This author has not been identified. Look up 'Carlos Vázquez' in Google