most citedDeep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging

8 citations · 8 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.CP2018★ 8 cited

Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging

Haojie Wang, Han Chen, Agus Sudjianto +2

The Libor market model is a mainstay term structure model of interest rates for derivatives pricing, especially for Bermudan swaptions, and other exotic Libor callable derivatives.…