Effective Implementation of Generic Market Models

DOI10.2143/AST.37.2.2024076MaRDI QIDQ5505912zbMATH OpenOpenAlexFDO

Authors Mark Joshi, Lorenzo Liesch

Publication date 28 January 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.37.2.2024076

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• Generic market models
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 2107359 (Why is no real title available?)
• Interest rate models -- theory and practice
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• THEORY AND CALIBRATION OF SWAP MARKET MODELS

Cited in

(5)

• Fast and accurate pricing and hedging of long-dated CMS spread options
• Efficient Greek estimation in generic swap-rate market models
• Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
• 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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