Fast delta computations in the swap-rate market model (Q633332)
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scientific article; zbMATH DE number 5872824
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| English | Fast delta computations in the swap-rate market model |
scientific article; zbMATH DE number 5872824 |
Statements
Fast delta computations in the swap-rate market model (English)
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31 March 2011
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adjoint method
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delta
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computational order
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market model
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Monte Carlo simulation
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0.8655276894569397
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0.782477617263794
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0.7765456438064575
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0.7715566754341125
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0.7604765892028809
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