Browsing Universidad Torcuato Di Tella by Author "Coltzau, Damian"
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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.