THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM

DOI10.1142/S0219024914500010zbMath1292.91172MaRDI QIDQ5411985

Christopher Beveridge, Mark S. 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

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

Related Items (1)

On swap rate dynamics: to freeze or not to freeze?

Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• Continuous-time term structure models: Forward measure approach
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• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• New and robust drift approximations for the LIBOR market model
• The Market Model of Interest Rate Dynamics
• Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model
• Effective Implementation of Generic Market Models

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