FFT network for interest rate derivatives with Lévy processes
type: Item
instance of: scholarly article
title: FFT network for interest rate derivatives with Lévy processes
zbMATH Open document ID: 1386.91137
author: Mei Choi Chiu
author: Zhuolu Xu
author: Hoi Ying Wong
published in: Japan Journal of Industrial and Applied Mathematics
publication date: 2017-12-12T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6817582
zbMATH Keywords: FFT newwork
zbMATH Keywords: interest rate derivatives
zbMATH Keywords: Lévy processes
MaRDI profile type: Publication
full work available at URL: s13160-017-0259-7
OpenAlex ID: W2734669469
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DOI: 10.1007/S13160-017-0259-7
description: scientific article; zbMATH DE number 6817582