Interest rate derivatives - Fast gammas for Bermudan swaptions - Adjoint differentiation is an efficient way to accurately calculate the Greeks of Libor derivatives by Monte Carlo simulation. The authors extend this to calculate the gamma matrices of Bermudan swaptions more quickly than existing approaches.

Innovative Techniken und Algorithmen im Bereich Computational-Finance und Risikomanagement

Liang, Qian, (2012)

Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

Korn, Ralf, (2014)

Interest rates - Fast Monte Carlo Bermudan Greeks - In recent years, much effort has been devoted to improving the efficiency of the Libor market model. The authors extend the pioneering work of Giles & Glasserman (2006) and show how fast calculations of Monte Carlo Greeks are feasible even within the framework of Bermudan-style derivatives.

Leclerc, Matthias, (2009)