A Volatility Decomposition Control Variate Technique For Monte Carlo Simulations Of Heath Jarrow Morton Models

Elsevier Science Bv
Publication Type:
Journal Article
European Journal Of Operational Research, 2005, 161 (2), pp. 325 - 336
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The aim of this work is to develop a simulation approach to the yield curve evolution in the Heath, Jarrow and Morton [Econometrica 60 (1) (1992) 77] framework. The stochastic quantities considered as affecting the forward rate volatility function are th
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