170 citations · 345 across the 27 of their papers we have counts for
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q-fin.CP2010
Picard approximation of stochastic differential equations and application to LIBOR models
Antonis Papapantoleon, David Skovmand
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to sol…
q-fin.CP2010
Numerical methods for the Lévy LIBOR model
Antonis Papapantoleon, David Skovmand
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the Lévy LIBOR model of Eberlein and Özkan (2005). Standard…