Fast delta computations in the swap-rate market model

DOI10.1016/J.JEDC.2010.12.015zbMath1209.91168OpenAlexW3125892616MaRDI QIDQ633332

Chao Yang, Mark S. Joshi

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 simulationmarket modeladjoint methoddeltacomputational order

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)

Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

Cites Work

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• Randomized quasi-Monte Carlo methods in pricing securities
• LIBOR and swap market models and measures
• Monte Carlo methods for security pricing
• 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
• The Market Model of Interest Rate Dynamics
• Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
• Effective Implementation of Generic Market Models

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