Efficient Simulation and Calibration of General HJM Models by Splitting Schemes (Q2873141): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1112.5330 / rank | |||
Normal rank | |||
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 |
Statements
Efficient Simulation and Calibration of General HJM Models by Splitting Schemes (English)
0 references
23 January 2014
0 references
Heath-Jarrow-Morton equation
0 references
interest rate theory
0 references
Feller condition
0 references
quasi-Monte Carlo
0 references
splitting scheme
0 references
