Dariusz Gatarek, co-author of the Libor Market Model with Alan Brace and Marek Musiela, has been busy of late – despite worrying that the vagaries of age might be catching up with him. He is […]
A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applications in the pricing of multiasset options, e.g. rainbow options. In this paper, we derive […]
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