LAVA
发表于 2025-3-23 11:49:14
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镀金
发表于 2025-3-23 15:09:57
PDE Valuation,itial value problem is solved numerically by the sparse grid technique based on a standard Crank Nicolson Finite Difference method with projected successive over-relaxation (PSOR). Implementing a modified sparse grid technique, we can increase the accuracy of the valuation.
吵闹
发表于 2025-3-23 20:22:03
Comparison of Valuation Techniques for Interest Rate Derivatives,on can be used for plain-vanilla and exotic interest rate derivatives and yield reliable as well as adequate results in reasonable time. The assumptions within the characteristic function methodology limit its application to bonds and caplets only, and the values can be used for benchmarking and calibration.
AGATE
发表于 2025-3-23 23:37:12
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Anticonvulsants
发表于 2025-3-24 05:51:21
Literature Review,The framework of Heath-Jarrow-Morton (HJM) is a general setting to model the evolution of the forward rate curve and was first published by Heath, Jarrow, and Morton(1992). The framework model can be used to price and hedge interest rate derivatives as described by Heath, Jarrow, Morton, and Spindel(1992).
可商量
发表于 2025-3-24 09:39:34
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Camouflage
发表于 2025-3-24 14:11:09
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FLIRT
发表于 2025-3-24 15:26:06
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amygdala
发表于 2025-3-24 21:40:58
Ingo BeynaPresents sensitivity analysis of interest rate derivatives in the class of Cheyette models that is unique in the literature.Uses sparse grid technique, adjusts it slightly and can solve high-dimension
Malleable
发表于 2025-3-25 02:34:07
Lecture Notes in Economics and Mathematical Systemshttp://image.papertrans.cn/i/image/470896.jpg