Model order reduction for the simulation of parametric interest rate models in financial risk analysis

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Authors: Andreas Binder, Onkar Jadhav, Volker Mehrmann

Journal title: Journal of Mathematics in Industry

Journal number: 11/1

Journal publisher: Springer Verlag

Published year: 2021

Published pages: 1-34

DOI identifier: 10.1186/s13362-021-00105-8

ISSN: 2190-5983