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Fast delta computations in the swap-rate market model

  • Published:2011-05 Issue:5 Volume:35 Page:764-775
  • ISSN:0165-1889
  • Container-title:Journal of Economic Dynamics and Control
  • language:en
  • Short-container-title:Journal of Economic Dynamics and Control

Author:

Joshi Mark,Yang Chao

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference19 articles.

1. The market model of interest rate dynamics;Brace;Mathematical Finance,1997

2. Monte Carlo methods for security pricing;Boyle;Journal of Economic Dynamics and Control,1997

3. Pricing American-style securities using simulation;Broadie;Journal of Economic Dynamics and Control,1997

4. Capriotti, L. Fast Greeks by Algorithmic Differentiation I. Journal of Computational Finance, forthcoming.

5. Denson, N., Joshi, M. Fast and Accurate Greeks for the LIBOR Market Model. Journal of Computational Finance, forthcoming.

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