"Efficient Simulation and Calibration of General HJM Models by Splitting ..."

Philipp Dörsek, Josef Teichmann (2013)

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DOI: 10.1137/110860173

access: closed

type: Journal Article

metadata version: 2017-05-17

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Philipp Dörsek, Josef Teichmann:
Efficient Simulation and Calibration of General HJM Models by Splitting Schemes. SIAM J. Financial Math. 4(1): 575-598 (2013)

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