Economics - Research Publications

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Start date: 2003 × End date: 2010 × Author: Joshi, Mark × Author: Liesch, Lorenzo ×

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    Effective implementation of generic market models
    Joshi, Mark S. ; Liesch, Lorenzo ( 2006-03)
    A number of standard market models are studied. Foreach one, algorithms of computational complexity equal to thenumber of rates times the number of factors to carry out the computationsfor each step is introduced. Two new classes of marketmodels are developed and it is shown for them that similar results hold.
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    Effective Implementation of Generic Market Models
    JOSHI, M. ; LIESCH, L. ( 2007)