Park, K., Kim, M. and Kim, S., 2006, "On Monte Carlo Simulation for the HJM Model Based on Jump," Lecture Notes in Computer Science, 38-45.Kisoeb Park,Moonseong Kim,Seki Kim.On Monte Carlo simulation for the HJM model based on jump. ICCS 2006, Part1 ....
Versions Notes Abstract A regularization approach to model selection, within a generalized HJM framework, is introduced, which learns the closest arbitrage-free model to a prespecified factor model. This optimization problem is represented as the limit of a one-parameter family of computationally tractab...