Efficient Simulation and Calibration of General HJM Models by Splitting Schemes

DOI10.1137/110860173zbMath1283.91193arXiv1112.5330MaRDI QIDQ2873141

Josef Teichmann, Philipp Dörsek

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.5330

zbMATH Keywords

splitting scheme; quasi-Monte Carlo; interest rate theory; Feller condition; Heath-Jarrow-Morton equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G30: Interest rates, asset pricing, etc. (stochastic models)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Uses Software

• NLopt