An Efficient Lattice Algorithm for the LIBOR Market Model
Tim Xiao
The Journal of Derivatives Fall 2011, 19 (1) 25-40; DOI: https://doi.org/10.3905/jod.2011.19.1.025
Tim Xiao
is a senior director of Risk Analytics at Capital Markets Risk Management with CIBC in Toronto, ON, Canada.
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An Efficient Lattice Algorithm for the LIBOR Market Model
Tim Xiao
The Journal of Derivatives Aug 2011, 19 (1) 25-40; DOI: 10.3905/jod.2011.19.1.025