Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The authors offer a unifying framework in which most continuous-time term structure models can be viewed and compared in terms of their similarities, their idiosyncratic features, and their main contributions and limitations. Modeling the Term Structure of Interest Rates is organized as follows: Section 1 presents the main objectives and basic definitions and...
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applica...
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners' aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their...
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computer...
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners' aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their...
In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computer...
