Diffusion processes with willow trees

In this paper we explore the implementation of a short rate model on a "Willow" tree. We establish both a significant performance gain for the Willow tree in terms of stability and the relativity of faster processing times.

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Detalles Bibliográficos
Autor principal: Coltzau, Damian
Otros Autores: Universidad Torcuato Di Tella
Formato: Tesis de maestría acceptedVersion
Lenguaje:Inglés
Publicado: Universidad Torcuato Di Tella 2017
Materias:
Finanzas
Economía > Modelos matemáticos
Tesis
Acceso en línea:http://repositorio.utdt.edu/handle/utdt/1172
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R16320.500.13098-1172
record_format dspace
institution Universidad Torcuato Di Tella
institution_str I-57
repository_str R-163
collection Repositorio Digital Universidad Torcuato Di Tella
language Inglés
orig_language_str_mv eng
topic Finanzas
Economía -- Modelos matemáticos
Tesis
spellingShingle Finanzas
Economía -- Modelos matemáticos
Tesis
Coltzau, Damian
Diffusion processes with willow trees
description In this paper we explore the implementation of a short rate model on a "Willow" tree. We establish both a significant performance gain for the Willow tree in terms of stability and the relativity of faster processing times.
author2 Universidad Torcuato Di Tella
author_facet Universidad Torcuato Di Tella
Coltzau, Damian
format Tesis de maestría
acceptedVersion
author Coltzau, Damian
author_sort Coltzau, Damian
title Diffusion processes with willow trees
title_short Diffusion processes with willow trees
title_full Diffusion processes with willow trees
title_fullStr Diffusion processes with willow trees
title_full_unstemmed Diffusion processes with willow trees
title_sort diffusion processes with willow trees
publisher Universidad Torcuato Di Tella
publishDate 2017
url http://repositorio.utdt.edu/handle/utdt/1172
work_keys_str_mv AT coltzaudamian diffusionprocesseswithwillowtrees
bdutipo_str Repositorios
_version_ 1764820542802624515

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