Efficient simulation and calibration of general HJM models by splitting schemes (Q2873141)

The authors ``introduce efficient numerical methods for generic Heath-Jarrow-Morton equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for quasi-Monte Carlo implementations due to the relatively low-dimensional integration space.'' They ``introduce and use the setting of weighted function spaces, such that unbounded payoffs and unbounded characteristics of the equations in question are still admissible.''NEWLINENEWLINE The proposed simulation algorithm is applied to an empirical example with market data. All proofs are given.