Accelerating pathwise Greeks in the LIBOR market model

DOI10.1142/S0219024912500124MaRDI QIDQ2882688zbMATH OpenOpenAlexFDO

Authors Mark Joshi, Alexander Wiguna

Publication date 7 May 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024912500124

zbMATH Keywords

automatic differentiationBermudan optionsLIBOR market modelMonte Carlo simulationsensitivity analysis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
• The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
• New and robust drift approximations for the LIBOR market model
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• A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates

Cites work

• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• Estimating Security Price Derivatives Using Simulation
• Evaluating Derivatives
• Fuzzy interval methods in investment risk appraisal.
• LIBOR and swap market models and measures
• New and robust drift approximations for the LIBOR market model
• Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss
• The concepts and practice of mathematical finance.
• The Market Model of Interest Rate Dynamics
• Valuing American options by simulation: a simple least-squares approach

Cited in

(6)

• Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
• Efficient Greek estimation in generic swap-rate market models
• New and robust drift approximations for the LIBOR market model
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
• The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
• Fast delta computations in the swap-rate market model

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