Fast delta computations in the swap-rate market model

DOI10.1016/J.JEDC.2010.12.015zbMATH Open1209.91168OpenAlexW3125892616MaRDI QIDQ633332FDOQ633332

Chao Yang, Mark Joshi

Publication date: 31 March 2011

Published in: Journal of Economic Dynamics and 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 simulationadjoint methoddeltamarket modelcomputational order

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)

Cites Work

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• Monte Carlo methods for security pricing
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• Randomized quasi-Monte Carlo methods in pricing securities
• Pricing American-style securities using simulation
• Fast and accurate pricing and hedging of long-dated CMS spread options
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
• Effective Implementation of Generic Market Models

Cited In (2)

• Title not available (Why is that?)
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

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