This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

"Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework"(in Japanese)

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Akihiko Takahashi (Faculty of Economics, The University of Tokyo)
Shuichiro Matsushima (The University of Tokyo)
Abstract

We developed a variance reduction method of Monte Carlo simulations as well as an approximation formula based on an asymptotic expansion approach for pricing bond options and swaptions in HJM framework. As a numerical example we applied the technique to a realistic two-factor model and confirmed its validity.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.e.u-tokyo.ac.jp/cirje/research/dp/2004/2004cj112.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-112.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 31 pages
Date of creation: May 2004
Date of revision:
Handle: RePEc:tky:jseres:2004cj112

Contact details of provider:
Web page: http://www.e.u-tokyo.ac.jp/cirje/index.htm

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords:

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? The most prolific authors have over 700 items listed on IDEAS.

This page was last updated on 2009-12-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.