Effective Implementation of Generic Market Models

A number of standard market models are studied. For each one, algorithms of computational complexity equal to the number of rates times the number of factors to carry out the computations for each step is introduced. Two new classes of market models are developed and it is shown for them that similar results hold

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Year of publication:	[2006]
Authors:	Joshi, Mark S.
Other Persons:	Liesch, Lorenzo (contributor)
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 27, 2006 erstellt
Other identifiers:	10.2139/ssrn.907387 [DOI]
Classification:	C19 - Econometric and Statistical Methods: General. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012733451