A Unifying Approach for the Pricing of Debt Securities

By Marie-Claude Vachon, Anne Mackay

Published 2024-03-12

Everscope rating

1619.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Continuous-Time Markov Chain Approximation. Problem types: Pricing, Numerical Approximation.

arXiv:2403.06303 · Paper rankings

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