Numerical integration of the Heath-Jarrow-Morton model of interest rates

DOI10.1093/imanum/drs058zbMath1294.91189arXiv1109.2557OpenAlexW1932047287MaRDI QIDQ5398452

M. Krivko, M. V. Tretyakov

Publication date: 28 February 2014

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.2557

zbMATH Keywords

Monte Carlo methodsweak approximationHeath-Jarrow-Morton modelmean-square convergenceinterest rate derivativesinfinite-dimensional stochastic equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

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