Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Evangelia A. Kalpinelli, Nikolaos E. Frangos and Athanasios N. Yannacopoulos
| Year of publication: |
June 2016
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| Authors: | Kalpinelli, Evangelia A. ; Frangos, Nikolaos E. ; Yannacopoulos, Athanasios N. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 4, p. 1-27
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| Subject: | Wiener chaos | Heath-Jarrow-Morton equation | Monte Carlo | Kalman filter | numerical methods | Chaostheorie | Chaos theory | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Numerisches Verfahren | Numerical analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Zins | Interest rate | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011603168