Lecture Computational Finance 2 / Appl. Math. Fin. 16: Discrete Term Structure Models (3)
Channel: finmath
Date: 03/02/2021

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 16: Discrete Term Structure Models (Part 3)

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

- The Short Period Bond P(Tm(t)+1 ; t)

- Time Discretization and Monte-Carlo Simulation

- Implementation (Part 1)
  - Interfaces:
    - RandomVariable
    - TimeDiscretization
    - BrownianMotion
    - Process
    - ProcessModel