Fast resolution of a single factor Heath–Jarrow–Morton model with stochastic volatility-Reference-Cited by-同舟云学术

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Fast resolution of a single factor Heath–Jarrow–Morton model with stochastic volatility

Published:2011-10 Issue:6 Volume:236 Page:1637-1655
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Valero E.,Torrealba M.,Lacasa L.,Fraysse F.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference29 articles.

1. Options, Futures, and Other Derivatives;Hull,1999

2. Interest-rate term-structure pricing models: a review;Rebonato;Proceedings of the Royal Society of London A,2003

3. Bond pricing and the term structure of interest rates: a new methodology for contingent claim valuation;Heath;Econometrica,1992

4. Interest Rate Modeling;Andersen,2010

5. General interest rate models and the Universality of HJM;Baxter,1997

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing variance swaps under stochastic volatility and stochastic interest rate;Applied Mathematics and Computation;2016-03

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