Approximation and application of the Musiela stochastic PDE in forward rate models
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Publication:4903547
DOI10.1080/00207160.2012.673596zbMath1255.62316OpenAlexW1988519391MaRDI QIDQ4903547
Jungmin Choi, Max D. Gunzburger
Publication date: 22 January 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2012.673596
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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