Application of the kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the hjm model
DOI10.1112/S146115700800048XzbMATH Open1221.91055MaRDI QIDQ3091998FDOQ3091998
Authors: Mariko Ninomiya 
Publication date: 15 September 2011
Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)
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Cites Work
- Interest rate models -- theory and practice. With smile, inflation and credit
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
- Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
- Title not available (Why is that?)
Cited In (5)
- Pricing CIR yield options by conditional moment matching
- Construction of a third-order K-scheme and its application to financial models
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
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- Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
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