The Libor market model, also known as the BGM Model, is a term structure model of interest rates. It is widely used for pricing interest rate derivatives, especially Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives with...

As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic differential equation (BSDE). We can either solve the PDE to...