Efficient Simulation and Calibration of General HJM Models by Splitting Schemes
Metadata only
Datum
2013Typ
- Journal Article
ETH Bibliographie
yes
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Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
SIAM Journal on Financial MathematicsBand
Seiten / Artikelnummer
Verlag
SIAMThema
Heath–Jarrow–Morton equation; Interest rate theory; Feller condition; Quasi-Monte Carlo; Stochastic partial differential equation; Splitting scheme; High-order methodOrganisationseinheit
03845 - Teichmann, Josef / Teichmann, Josef
Anmerkungen
Submitted on 22 December 2011, Accepted 10 May 2013, Published online 15 August 2013.ETH Bibliographie
yes
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