On Monte Carlo Simulation for the HJM Model Based on Jump

DOI10.1007/11758501_10zbMATH Open1155.91355OpenAlexW1501628415MaRDI QIDQ3545009FDOQ3545009

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

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• Bond Pricing with Jumps and Monte Carlo Simulation
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Mathematics Subject Classification ID

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

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

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