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Johnson, 2006 - Google Patents

Numerical Methods for the Markov Functional model

Johnson, 2006

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Document ID
235378181373442620
Author
Johnson S
Publication year
Publication venue
Wilmott Magazine, Jan

External Links

Snippet

Some numerical methods for efficient implementation of the 1-and 2-factor Markov Functional models of interest rate derivatives are proposed. These methods allow a sufficiently rapid implementation of the standard calibration method, that joint calibration to …
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