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Mathematics-in-Industry Case Studies
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Table 5 Comparison of results using PDEs and Monte-Carlo methods for the two default case
From:
Credit contingent interest rate swap pricing
PDE(ADI)
PDE(ADI)
Monte Carlo 99.9% confidence interval
time steps 600
time steps 2000
time steps 2000
Price
$ 2,264.26
$ 2,263.50
$ [2202.96, 2264.08]
Time (seconds)
4.07
14.68
660
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