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An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.; Zhu, Dan - In: The journal of computational finance 20 (2016) 1, pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
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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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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
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Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao; Hsieh, Chang-Chieh; Huang, Zi-Wei; Lin, … - In: International review of financial analysis 90 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
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Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les - In: The journal of fixed income 7 (1997) 3, pp. 35-45
Persistent link: https://www.econbiz.de/10001233944
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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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Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema; Korn, Ralf; Desmettre, Sascha - In: The journal of computational finance 23 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10012064963