Concepedia

Interest Rate Model Simulation

Interest Rate Model Simulation is a computational methodology within financial mathematics that, as a specialized form of stochastic process simulation, involves the numerical implementation of dynamic models to replicate the evolution of interest rates under uncertainty for pricing, risk management, or policy analysis.

28

Publications

904

Citations

69

Authors

40

Institutions

Publications per year

2017–2026

4

Parents

Publications

28

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

Łukasz Szpruch, Xuerong Mao, Desmond J. Higham et al. · BIT Numerical Mathematics · 2010 · 110 citations

, , +13

Reconfigurable acceleration for Monte Carlo based financial simulation

G.L. Zhang, Philip H. W. Leong, C.H. Ho et al. · 2006 · 96 citations

, , +17

Calibration as Testing: Inference in Simulated Macroeconomic Models

Allan W. Gregory, Gregor W. Smith · Journal of Business and Economic Statistics · 1991 · 93 citations

, , +15

Toward pricing financial derivatives with an IBM quantum computer

Physical Review Research · 2021 · 63 citations · Full text

, , +16

Empirical analysis of quantum finance interest rates models

Belal E. Baaquie, Yang Cao · Physica A Statistical Mechanics and its Applications · 2009 · 45 citations

, , +14

1–5 of 28

Authors

69

  1. RS
    Richard Stanton

    University of California, Berkeley, United States

    2 publications · 55 citations

    2

    h-index

  2. GR
    Gregory R. Duffee

    Johns Hopkins University, United States

    2 publications · 55 citations

    2

    h-index

  3. AW
    Allan W. Gregory

    Queen's University, Canada

    2 publications · 132 citations

    2

    h-index

  4. MK
    Michal Kempa

    University of Helsinki, Finland

    2 publications · 35 citations

    2

    h-index

  5. BE
    Belal E. Baaquie

    National University of Singapore, Singapore

    2 publications · 84 citations

    2

    h-index

1–5 of 69

Institutions

40

  1. University of the Basque Country

    Leioa, Spain

    2 h-index

    10 publications

    420 citations

  2. University of California, Berkeley

    Berkeley, United States

    2 h-index

    4 publications

    110 citations

  3. Banco Santander (Spain)

    Santander, Spain

    2 h-index

    2 publications

    84 citations

  4. IQM (Germany)

    Munich, Germany

    2 h-index

    4 publications

    168 citations

  5. National University of Singapore

    Singapore, Singapore

    2 h-index

    4 publications

    168 citations

  6. Ikerbasque

    Bilbao, Spain

    2 h-index

    6 publications

    252 citations

  7. Donostia International Physics Center

    Donostia / San Sebastian, Spain

    2 h-index

    2 publications

    84 citations

  8. Shanghai University

    Shanghai, China

    2 h-index

    4 publications

    168 citations

1–8 of 40

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 67 citations

    4

    h-index

  2. Journal of Business and Economic Statistics

    JBES · 2 publications · 132 citations

    2

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 2 publications · 48 citations

    2

    h-index

  4. 2

    h-index

  5. Repository of the University of Namur

    Repository · 1 publications · 15 citations

    1

    h-index

1–5