Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme

DOI10.1080/14697688.2020.1861320zbMath1479.91447OpenAlexW3126832240MaRDI QIDQ5014247

Yuji Shinozaki

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1861320

zbMATH Keywords

quasi-Monte Carlo methodstochastic volatility modelcomputational financeterm-structure modelshort rate modelhigher-order discretization methodKLNV-scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Uses Software

• TOMS659
• sobol.cc

Cites Work

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