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.
| Year of publication: |
2009
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|---|---|
| Authors: | Leclerc, Matthias ; Liang, Qian ; Schneider, Ingo |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 7, p. 84-88
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