Fast Greeks for Markov-functional models using adjoint PDE methods
Nick Denson and Mark Joshi
| Year of publication: |
2010
|
|---|---|
| Authors: | Denson, Nick ; Joshi, Mark S. |
| Publisher: |
Melbourne : Centre for Actuarial Studies, Fac. of Economics & Commerce, Univ. of Melbourne |
| Subject: | Währungsderivat | Currency derivative | Zinsstruktur | Yield curve | Theorie | Theory |
| Extent: | Online-Ressource (26 S., 328,39 Kb) graph. Darst. |
|---|---|
| Series: | Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne. - Melbourne, ZDB-ID 2412374-2. - Vol. 214 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | PDE = partial differential equations Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008806570