Efficient Simulation and Calibration of General HJM Models by Splitting Schemes (Q2873141)
From MaRDI portal
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