Efficient Simulation and Calibration of General HJM Models by Splitting Schemes

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Author
Dörsek, Philipp
Teichmann, Josef
Date
2013
Type
    Journal Article
Publication status
published
External links
Journal / series
SIAM Journal on Financial Mathematics
Volume
4(1)
Pages / Article No.
575 - 598
Publisher
SIAM
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.
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