Efficient Simulation and Calibration of General HJM Models by Splitting Schemes (Q2873141): Difference between revisions
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Latest revision as of 10:24, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Simulation and Calibration of General HJM Models by Splitting Schemes |
scientific article |
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Efficient Simulation and Calibration of General HJM Models by Splitting Schemes (English)
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23 January 2014
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Heath-Jarrow-Morton equation
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interest rate theory
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Feller condition
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quasi-Monte Carlo
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splitting scheme
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