1015 Lausanne, CH-1015
Ecole Polytechnique Fédérale de Lausanne
multi-factor Cox-Ingersoll-Ross model, unspanned stochastic volatility, incomplete bond markets
Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems
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incomplete bond markets, multifactor Cox–Ingersoll‐Ross model, unspanned stochastic volatility
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