Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility

DOI10.1016/j.cam.2011.09.027zbMath1228.91076arXiv1108.1688MaRDI QIDQ654788

François Fraysse, Eusebio Valero, M. Torrealba, Lucas Lacasa

Publication date: 21 December 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.1688

zbMATH Keywords

computational finance; quantitative finance; numerical methods for PDE

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

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

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