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Search: subject:"Higher-order discretization method"
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Higher-order discretization method
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
Ninomiya, Syoiti
;
Shinozaki, Yuji
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 257-292
Persistent link: https://www.econbiz.de/10012210291
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