Polynomial chaos expansion approach to interest rate models
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Publication:1657904
DOI10.1155/2015/369053zbMath1427.91287OpenAlexW2190184442WikidataQ59114211 ScholiaQ59114211MaRDI QIDQ1657904
Michele Bonollo, Luca Di Persio, Gregorio Pellegrini
Publication date: 14 August 2018
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2015/369053
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Uses Software
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