Efficient Simulation and Calibration of General HJM Models by Splitting Schemes
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Author / Producer
Date
2013
Publication Type
Journal Article
ETH Bibliography
yes
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Rights / License
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Publication status
published
External links
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Book title
Journal / series
Volume
4 (1)
Pages / Article No.
575 - 598
Publisher
SIAM
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Heath–Jarrow–Morton equation; Interest rate theory; Feller condition; Quasi-Monte Carlo; Stochastic partial differential equation; Splitting scheme; High-order method
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef
Notes
Submitted on 22 December 2011, Accepted 10 May 2013, Published online 15 August 2013.