Fast delta computations in the swap-rate market model

DOI10.1016/j.jedc.2010.12.015zbMath1209.91168MaRDI QIDQ633332

Mark S. Joshi, Chao Yang

Publication date: 31 March 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.12.015

zbMATH Keywords

Monte Carlo simulation; market model; adjoint method; delta; computational order

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)