ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL

DOI10.1142/S0219024912500124zbMath1282.91375OpenAlexW3125683903MaRDI QIDQ2882688

Mark S. Joshi, Alexander Wiguna

Publication date: 7 May 2012

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

Full work available at URL: https://doi.org/10.1142/s0219024912500124

zbMATH Keywords

sensitivity analysisautomatic differentiationMonte Carlo simulationLIBOR market modelBermudan options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• LIBOR and swap market models and measures
• Fuzzy interval methods in investment risk appraisal.
• Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• New and robust drift approximations for the LIBOR market model
• Evaluating Derivatives
• Estimating Security Price Derivatives Using Simulation
• The Market Model of Interest Rate Dynamics
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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