Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time
Year of publication: |
2012-10-01
|
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Authors: | Beyna, Ingo ; Chiarella, Carl ; Kang, Boda |
Institutions: | Finance Discipline Group, Business School |
Subject: | Cheyette model | Gaussian HJM | multi-factor model | PDE valuation | sparse grid | Monte Carlo simulation |
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