Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions (Q5256567)

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scientific article; zbMATH DE number 6447207
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Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions
scientific article; zbMATH DE number 6447207

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    Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions (English)
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    18 June 2015
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    Markov chain
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    coupled system of parabolic PDEs
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    portfolio
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    adaptive multiwavelet method
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    Hierarchical Tucker Format
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