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20062026
most citedComputable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data

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math.NA2012

Monte Carlo Euler approximations of HJM term structure financial models

Thomas Björk, Anders Szepessy, Raul Tempone +1

We present Monte Carlo-Euler methods for a weak approximation problem related to the Heath-Jarrow-Morton (HJM) term structure model, based on \Ito stochastic differential equations…