Efficient Simulation and Calibration of General HJM Models by Splitting Schemes
dc.contributor.author
Dörsek, Philipp
dc.contributor.author
Teichmann, Josef
dc.date.accessioned
2017-06-09T18:12:56Z
dc.date.available
2017-06-09T18:12:56Z
dc.date.issued
2013
dc.identifier.issn
1945-497X
dc.identifier.other
10.1137/110860173
dc.identifier.uri
http://hdl.handle.net/20.500.11850/43535
dc.language.iso
en
dc.publisher
SIAM
dc.subject
Heath–Jarrow–Morton equation
dc.subject
Interest rate theory
dc.subject
Feller condition
dc.subject
Quasi-Monte Carlo
dc.subject
Stochastic partial differential equation
dc.subject
Splitting scheme
dc.subject
High-order method
dc.title
Efficient Simulation and Calibration of General HJM Models by Splitting Schemes
dc.type
Journal Article
ethz.journal.title
SIAM Journal on Financial Mathematics
ethz.journal.volume
4
ethz.journal.issue
1
ethz.pages.start
575
ethz.pages.end
598
ethz.notes
Submitted on 22 December 2011, Accepted 10 May 2013, Published online 15 August 2013.
ethz.identifier.wos
ethz.publication.place
Philadelphia, PA
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.date.deposited
2017-06-09T18:13:02Z
ethz.source
ECIT
ethz.identifier.importid
imp59364ecc212d121932
ethz.ecitpid
pub:72130
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-15T16:03:12Z
ethz.rosetta.lastUpdated
2024-02-01T18:13:26Z
ethz.rosetta.versionExported
true
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