Approximation and application of the Musiela stochastic PDE in forward rate models (Q4903547): Difference between revisions

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Latest revision as of 03:31, 6 July 2024

scientific article; zbMATH DE number 6127885
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English
Approximation and application of the Musiela stochastic PDE in forward rate models
scientific article; zbMATH DE number 6127885

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    Approximation and application of the Musiela stochastic PDE in forward rate models (English)
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    22 January 2013
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    Musiela equation
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    stochastic PDE
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    error analysis
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    SUPG finite element methods
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