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

Jungmin Choi, Max Gunzburger. Approximation and application of the Musiela stochastic PDE in forward rate models. Int. J. Comput. Math., 89(9):1269-1280, 2012. [doi]

Authors

Jungmin Choi

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Max Gunzburger

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