| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6898053 | European Journal of Operational Research | 2013 | 10 Pages |
Abstract
⺠Reformulates swaps calculations and risks as a system of linear equations. ⺠Paper takes account of stochastic interest rates. ⺠Allows for fast and accurate computation. ⺠Computationally efficient alternative to Monte Carlo methods. ⺠Potentially important real-time application for markets.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Sovan Mitra, Paresh Date, Rogemar Mamon, I-Chieh Wang,