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

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

Chiarella Carl; Clewlow Les; Musti Silvana
URI: http://hdl.handle.net/10453/8313
Date: 2005

Abstract:

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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