Listar Maestría en Economía por autor "Coltzau, Damian"
Mostrando ítems 1-1 de 1
-
Diffusion processes with willow trees
Coltzau, Damian (Universidad Torcuato Di Tella, 2009)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.