The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
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Publication:5411985
DOI10.1142/S0219024914500010zbMATH Open1292.91172MaRDI QIDQ5411985FDOQ5411985
Authors: Christopher Beveridge, Mark Joshi 
Publication date: 25 April 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Title not available (Why is that?)
- Interest rate models -- theory and practice. With smile, inflation and credit
- LIBOR and swap market models and measures
- The Market Model of Interest Rate Dynamics
- Effective Implementation of Generic Market Models
- Continuous-time term structure models: Forward measure approach
- The concepts and practice of mathematical finance.
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model
- New and robust drift approximations for the LIBOR market model
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