Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
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Publication:5014247
stochastic volatility modelcomputational financequasi-Monte Carlo methodterm-structure modelshort rate modelhigher-order discretization methodKLNV-scheme
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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Cites work
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- scientific article; zbMATH DE number 1754702 (Why is no real title available?)
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- Interest rate derivatives. Valuation, calibration and sensitivity analysis
- Markov-functional interest rate models
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