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Equivalence of interest rate models and lattice gases
Equivalence of interest rate models lattice gases Computational Finance
2012/4/28
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). Th...
Computation of vector sublattices and minimal lattice-subspaces of R^k. Applications in finance
computational methods minimal lattice-subspaces vector sublattices
2010/10/20
In this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspac...