Constructing trinomial models based on cubature method on Wiener space: Applications to pricing financial derivatives
This contribution deals with an extension to our developed novel cubature methods of
degrees 5 on Wiener space. In our previous studies, we have shown that the cubature …
degrees 5 on Wiener space. In our previous studies, we have shown that the cubature …
Evolution of forward curves in the Heath–Jarrow–Morton framework by cubature method on Wiener space
The multi-curve extension of the Heath–Jarrow–Morton framework is a popular method for
pricing interest rate derivatives and overnight indexed swaps in the post-crisis financial …
pricing interest rate derivatives and overnight indexed swaps in the post-crisis financial …
[ספר][B] A Cubature Method for Solving Stochastic Equations: A Modern Monte-Carlo Approach With Applications to Financial Market
H Nohrouzian - 2022 - search.proquest.com
Before the financial crisis started in 2007, there were no significant spreads between the
forward rate curves constructed either using the market quotes of overnight indexed swaps …
forward rate curves constructed either using the market quotes of overnight indexed swaps …