SIAM Journal on Numerical Analysis, Vol. 8, No. 1 (Mar., 1971), pp. 137-157 (21 pages) Multistep predictor-corrector methods are commonly used for the numerical solution of ordinary differential ...
This paper derives the pathwise adjoint method for the predictor-corrector drift approximation in the displaced-diffusion LIBOR market model.We present a comparison of the log-Euler and ...
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