Allan Jonathan da Silva, Jack Baczynski, João Felipe da Silva Bragança. Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities. In João M. F. Rodrigues, Pedro J. S. Cardoso, Jânio M. Monteiro, Roberto Lam, Valeria V. Krzhizhanovskaya, Michael Harold Lees, Jack J. Dongarra, Peter M. A. Sloot, editors, Computational Science - ICCS 2019 - 19th International Conference, Faro, Portugal, June 12-14, 2019, Proceedings, Part V. Volume 11540 of Lecture Notes in Computer Science, pages 710-716, Springer, 2019. [doi]
@inproceedings{SilvaBB19,
title = {Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities},
author = {Allan Jonathan da Silva and Jack Baczynski and João Felipe da Silva Bragança},
year = {2019},
doi = {10.1007/978-3-030-22750-0_69},
url = {https://doi.org/10.1007/978-3-030-22750-0_69},
researchr = {https://researchr.org/publication/SilvaBB19},
cites = {0},
citedby = {0},
pages = {710-716},
booktitle = {Computational Science - ICCS 2019 - 19th International Conference, Faro, Portugal, June 12-14, 2019, Proceedings, Part V},
editor = {João M. F. Rodrigues and Pedro J. S. Cardoso and Jânio M. Monteiro and Roberto Lam and Valeria V. Krzhizhanovskaya and Michael Harold Lees and Jack J. Dongarra and Peter M. A. Sloot},
volume = {11540},
series = {Lecture Notes in Computer Science},
publisher = {Springer},
isbn = {978-3-030-22750-0},
}