Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model.
Mariko NinomiyaPublished in: LMS J. Comput. Math. (2010)
Keyphrases
- theoretical analysis
- probabilistic model
- objective function
- optimization model
- cost function
- mathematical model
- algorithm employs
- selection algorithm
- preprocessing
- detection algorithm
- recognition algorithm
- worst case
- closed form
- final result
- optimal solution
- learning algorithm
- input data
- np hard
- parameter estimation
- k means
- computational complexity
- kalman filter
- optimization method
- similarity measure
- piecewise constant
- energy function
- search space
- linear approximation
- approximation ratio
- estimation algorithm
- tree structure
- expectation maximization
- particle swarm optimization
- probability distribution
- dynamic programming
- clustering algorithm