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Fast resolution of a single factor HeathJarrowMorton model with stochastic volatility
Fast resolution of a single factor HeathJarrowMorton model with stochastic volatility
2011
Eusebio Valero
Manuel Torrealba
Lucas Lacasa
François Fraysse
Keywords:
Stochastic partial differential equation
Numerical analysis
Mathematical optimization
Stochastic differential equation
Geometric Brownian motion
Stochastic volatility
Monte Carlo method
Mathematics
Correction
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