Efficient Simulation and Calibration of General HJM Models by Splitting Schemes

DOI10.1137/110860173zbMath1283.91193arXiv1112.5330OpenAlexW2018140698MaRDI QIDQ2873141

Josef Teichmann, Philipp Dörsek

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.5330

zbMATH Keywords

splitting schemequasi-Monte Carlointerest rate theoryFeller conditionHeath-Jarrow-Morton equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

A general HJM framework for multiple yield curve modelling, Monte Carlo Euler approximations of HJM term structure financial models, Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization, Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise, Cubature methods for stochastic (partial) differential equations in weighted spaces, Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations, Approximation of Stochastic Nonlinear Equations of Schrödinger Type by the Splitting Method, High order splitting schemes with complex timesteps and their application in mathematical finance

Uses Software

• NLopt