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FFT network for interest rate derivatives with Lévy processes
Mei Choi CHIU
, Zhuolu XU
, Hoi Ying WONG
Department of Mathematics and Information Technology (MIT)
Research output
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peer-review
1
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Keyphrases
Interest Rate Derivatives
100%
Lvy Processes
100%
Transform Network
100%
Fast Fourier Transform
100%
Process Rate
33%
Interest Rates
33%
Japan
16%
Copyright
16%
Path Dependence
16%
Stochastic Processes
16%
Finance Research
16%
Research Support
16%
Brownian Motion
16%
Efficient Computation
16%
Accruals
16%
Trinomial Tree
16%
Trinomial
16%
Target Redemption Notes
16%
Characteristic Function
16%
Interest Rate Targets
16%
Solutions of Interest
16%
Derivative Valuation
16%
American Options
16%
Term Structure of Interest Rates
16%
Swaptions
16%
Interest Rate Caps
16%
Bermudan Swaptions
16%
Numerical Comparison
16%
Stochastic Modeling
16%
Economics, Econometrics and Finance
Interest Rate Derivative
100%
Finance
50%
Levy Process
50%
Yield Curve
50%
Stochastic Modeling
50%
Engineering
Fast Fourier Transform
100%
Japan
16%
Target Rate
16%
Structure Term
16%
Closed Form Solution
16%
Characteristic Function
16%
Dependent Variable
16%