Fast resolution of a single factor Heath–Jarrow–Morton model with stochastic volatility
نویسندگان
چکیده
منابع مشابه
Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo simulations, that usually involve rather large computation time, inefficient from a practical (financial) perspective. This model turns to be Markovian in three dim...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2011
ISSN: 0377-0427
DOI: 10.1016/j.cam.2011.09.027