Home » Uncategorized » Finding NIMo – path generation

Finding NIMo – path generation

Andrew Lesniewski, Libor Market Model, 2008, here. Hull White, here.

Martin Haugh, Market Models, 2010, here.

Soc Gen, Libor Market Models: the reasons behind the success, here. Nice slides.

Hull and White, Using Hull- White Interest Rate Trees, 1996, here. The General Hull-White Model and Super Calibration, here.

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