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This paper demonstrates the application of a new higher-order weak approximation, called the Kusuoka approximation, with discrete random variables to non-commutative multi-factor models. Our experiments show that using the Heath–Jarrow–Morton model to price interest-rate derivatives can be practically feasible if the Kusuoka approximation is used along with the tree-based branching algorithm.

Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model