Interest rates: Getting the drift An investigation of the predictor-corrector method - an alternative to conventional Euler-stepping in BGM model Monte Carlo simulations.
| Year of publication: |
2001
|
|---|---|
| Authors: | Hunter, Chris ; Jäckel, Peter ; Joshi, Mark |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 14.2001, 7, p. 81-86
|