Lecture 2021-2: Appl. Math. Fin./Computational Finance 2 (20): Discrete Forward Rate Term Struct (5)
Channel: finmath
Date: 11/01/2022

Lecture 2021-2: Applied Mathematical Finance / Computational Finance 2: Session 20: Discrete Forward Rate Term-Structure Models (5): Time-Discretization and Monte-Carlo Simulation

- Generalized Euler-Scheme with State Space Transformation
- Monte-Carlo Simulation
- Generation of Model Primitives L and Numéraire N