The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM

DOI10.1142/S0219024914500010MaRDI QIDQ5411985zbMATH OpenFDO

Authors Christopher Beveridge, Mark Joshi

Publication date 25 April 2014

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

zbMATH Keywords

Brownian bridgeGreeksLIBOR market modeldisplaced diffusioncallable range accrual

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Continuous-time term structure models: Forward measure approach
• Effective Implementation of Generic Market Models
• Interest rate models -- theory and practice. With smile, inflation and credit
• Interpolation schemes in the displaced-diffusion LIBOR market model
• LIBOR and swap market models and measures
• New and robust drift approximations for the LIBOR market model
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• The Market Model of Interest Rate Dynamics
• The concepts and practice of mathematical finance.

Cited in

(2)

• Accelerating pathwise Greeks in the LIBOR market model
• On swap rate dynamics: to freeze or not to freeze?

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