Publication:5210199

zbMath1449.91171MaRDI QIDQ5210199

Shen Liu, Liang Jiang

Publication date: 22 January 2020

zbMATH Keywords

regularization; Monte Carlo simulation; volatility; HJM model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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