Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives.

Ailing Zeng Jungong Xue

Published in: SIAM J. Financial Math. (2019)

Keyphrases

monte carlo method
markov chain
monte carlo
genetic algorithm
posterior distribution
higher order
maximum likelihood estimation
bayesian learning
mathematical models
learning machines
multiscale
multiresolution
state space
reinforcement learning
model selection
experimental data
closed form