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Approximation and application of the Musiela stochastic PDE in forward rate models.

Jungmin ChoiMax D. Gunzburger
Published in: Int. J. Comput. Math. (2012)
Keyphrases
  • stochastic models
  • statistical models
  • probabilistic model
  • experimental data
  • model driven
  • machine learning
  • np hard
  • computational models
  • approximation algorithms
  • piecewise constant
  • approximation schemes