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Kooderive : Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps
Joshi, Mark S. - 2014
We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case
Persistent link: https://www.econbiz.de/10013059777
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Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo; Chiarella, Carl; Kang, Boda - 2012
Persistent link: https://www.econbiz.de/10009632002
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - 2016
and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …
Persistent link: https://www.econbiz.de/10011516038
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A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch
Fanelli, Viviana - 2016
A great deal of recent literature discusses the major anomalies that have appeared in the interest rate market following the credit crunch in August 2007. There were major consequences with regard to the development of spreads between quantities that had remained the same until then. In...
Persistent link: https://www.econbiz.de/10013003391
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An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model
Joshi, Mark S. - 2014
We introduce a new simulation algorithm for computing the Hessians of Bermudan swaptions and cancellable swaps, the …
Persistent link: https://www.econbiz.de/10013039860
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Par-Par Asset Swap Spreads : An Illustration of How to Price Asset Swaps
Burgess, Nicholas - 2016
this paper we provide a brief overview of asset swaps and derive a par-par asset swap spread formula incorporating bond … accrued interest. Finally we illustrate how to calculate both the yield-yield and par-par asset swap spread using the liquid …
Persistent link: https://www.econbiz.de/10012986931
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The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility
Oya, Kenjiro - 2018
In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …
Persistent link: https://www.econbiz.de/10012912383
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Deep Learning-Based BSDE Solver for Libor Market Model with Applications to Bermudan Swaption Pricing and Hedging
Wang, Haojie - 2018
implementation the pricing of derivatives with Libor market models is mainly carried out with Monte Carlo simulation. The PDE grid … for American option price. Another complexity arises from applying Monte Carlo simulation is the computation of the … effectively and efficiently. A comparison between Monte Carlo simulation and the new method for pricing vanilla interest rate …
Persistent link: https://www.econbiz.de/10012914649
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Effective Markovian Projection : Application to CMS Spread Options and Mid-Curve Swaptions
Felpel, Mike; Kienitz, Jörg; McWalter, Thomas - 2021
Pricing of interest rate derivatives, such as CMS spread or mid-curve options, depends on modelling the underlying single rates. For flexibility and realism, these rates are often described in the framework of stochastic volatility models. In this paper, we allow rates to be modelled within a...
Persistent link: https://www.econbiz.de/10013236488