Fast delta computations in the swap-rate market model
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References listed on IDEAS
- Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
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- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
- Jiun Hong Chan and Mark Joshi, 2012. "Optimal Limit Methods for Computing Sensitivities of," Department of Economics - Working Papers Series 1142, The University of Melbourne.
- Cristian Homescu, 2011. "Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance," Papers 1107.1831, arXiv.org.
- Joshi, Mark & Tang, Robert, 2014. "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 25-45.
More about this item
KeywordsAdjoint method Delta Computational order Market model Monte Carlo simulation;
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