Efficient Simulation and Calibration of General HJM Models by Splitting Schemes
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Publication:2873141
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
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)
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