Lecture Computational Finance 2 / Appl. Math. Fin. 18: Discrete Term Structure Models (5)
Channel: finmath
Date: 13/02/2021

ecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 18: Discrete Term Structure Models (Part 5)

The fifth session on discrete term structure models, modelling a discrete set of forward rates (LIBOR market model).

- Numerical Experiments (1)

  - Impact of the Measure on the Approximation Error of a Zero Bond
  - Impact of the Measure on the  Approximation Error of a Forward
  - Control Variate for the Numéraire