Numerical integration of the Heath-Jarrow-Morton model of interest rates (Q5398452)
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scientific article; zbMATH DE number 6262447
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical integration of the Heath-Jarrow-Morton model of interest rates |
scientific article; zbMATH DE number 6262447 |
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Numerical integration of the Heath-Jarrow-Morton model of interest rates (English)
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28 February 2014
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Heath-Jarrow-Morton model
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weak approximation
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Monte Carlo methods
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interest rate derivatives
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infinite-dimensional stochastic equations
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mean-square convergence
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