On Monte Carlo Simulation for the HJM Model Based on Jump

DOI10.1007/11758501_10MaRDI QIDQ3545009zbMATH OpenOpenAlexFDO

Authors Kisoeb Park, Moonseong Kim, Seki Kim

Publication date 9 December 2008

Published in Computational Science – ICCS 2006 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/11758501_10

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Bond Pricing with Jumps and Monte Carlo Simulation
• Stochastic Simulation Method for the Term Structure Models with Jump
• Monte Carlo Euler approximations of HJM term structure financial models
• A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
• A class of jump-diffusion bond pricing models within the HJM framework

Cited in

(7)

• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• Stochastic Simulation Method for the Term Structure Models with Jump
• Monte Carlo Euler approximations of HJM term structure financial models
• Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump
• Bond Pricing with Jumps and Monte Carlo Simulation
• A class of jump-diffusion bond pricing models within the HJM framework
• A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models

This page was built for publication: On Monte Carlo Simulation for the HJM Model Based on Jump

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3545009)