Efficient greek estimation in generic swap-rate market models

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models.

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Year of publication:	2011
Authors:	Joshi, Mark ; Yang, Chao
Published in:	Algorithmic Finance. - IOS Press. - Vol. 1.2011, 1, p. 17-33
Publisher:	IOS Press
Subject:	adjoint method \| Delta \| Vega \| computational order \| market model \| Monte Carlo simulation

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Type of publication:	Article
Classification:	C02 - Mathematical Methods ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010840410