Effective Implementation of Generic Market Models

DOI10.2143/AST.37.2.2024076zbMath1159.91378OpenAlexW4234115022MaRDI QIDQ5505912

Mark S. Joshi, Lorenzo Liesch

Publication date: 28 January 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.37.2.2024076

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Fast delta computations in the swap-rate market model ⋮ Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions ⋮ THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM ⋮ FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS

Cites Work

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• Generic market models
• LIBOR and swap market models and measures
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• The Market Model of Interest Rate Dynamics
• Interest rate models -- theory and practice

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