A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models

DOI10.1016/j.ejor.2003.08.045zbMath1134.91403OpenAlexW1965719157MaRDI QIDQ1887921

Silvana Musti, Les Clewlow, Carl Chiarella

Publication date: 22 November 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/8313

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20)

Related Items

Least-square-based control variate method for pricing options under general factor models ⋮ A cyclical square-root model for the term structure of interest rates ⋮ Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps

Cites Work

• Unnamed Item
• Unnamed Item
• On the construction of finite dimensional realizations for nonlinear forward rate models
• Classes of interest rate models under the HJM framework
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Pricing Interest-Rate-Derivative Securities
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model