@inproceedings{TUW-170686, author = {Auer, Martin and Biffl, Stefan}, title = {Fast and Flexible Libor Model Pricing: Two-Stage Monte Carlo and On-the-Fly Payoff Processing}, booktitle = {Computational Finance and Its Applications III}, year = {2008}, editor = {Brebbia, C.A. and Constantino, M. and Larran, M.}, pages = {1--11}, organization = {Wessex Institute}, publisher = {Wessex Institute Press}, isbn = {978-1-84564-111-5} }