Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods

This paper demonstrates how the adjoint PDE method can be used to compute Greeks in Markov-functional models. This is an accurate and efficient way to compute Greeks, where most of the model sensitivities can be computed in approximately the same time as a single sensitivity using finite difference. We demonstrate the speed and accuracy of the method using a Markov-functional interest rate model, also demonstrating how the model Greeks can be converted into market Greeks

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Year of publication:	2010
Authors:	Denson, Nick
Other Persons:	Joshi, Mark S. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Zinsstruktur \| Yield curve \| Währungsderivat \| Currency derivative

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