[Zurück]

@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}
}



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