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A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models.

Carl ChiarellaLes ClewlowSilvana Musti
Published in: Eur. J. Oper. Res. (2005)
Keyphrases
  • monte carlo simulation
  • monte carlo
  • markov chain
  • statistical models
  • control system
  • learning algorithm
  • long term
  • experimental data
  • artificial neural networks
  • hybrid model