Fast greeks by simulation in forward LIBOR models
نویسندگان
چکیده
منابع مشابه
Fast greeks by simulation in forward LIBOR models
This paper develops methods for fast estimation of option price sensitivities in Monte Carlo simulation of term structure models. The models considered are based on discretely compounded forward rates with proportional volatilities. The ef®cient estimation of option deltas, gammas, and vegas are investigated in this setting. Various general methods are available in the Monte Carlo literature fo...
متن کاملModels of Forward LIBOR and Swap Rates
The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward LIBOR rates examined in Miltersen et al. (1997) and Brace et al. (1997), as well as the lognormal model of ((xed-maturity) forward swap rates proposed by Jamshidian (1996, 1997). The valuation formulae for European caps and swaptions are given. I...
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We show how algorithmic differentiation can be used to efficiently implement the pathwise derivative method for the calculation of option sensitivities using Monte Carlo simulations. The main practical difficulty of the pathwise derivative method is that it requires the differentiation of the payout function. For the type of structured options for which Monte Carlo simulations are usually emplo...
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We focus on the coupling of two existing and calibrated single currency Libor models into a joint Libor model that allows for pricing of multiple currency based structured interest rate products. Our main contribution is twofold: On the one hand we provide a method for synthesizing two local currency based correlation structures into a correctly defined joint correlation structure that describe...
متن کاملSpot, Forward, and Futures Libor Rates
The properties of forward and futures interest-rate contracts associated with a given collection of reset dates are studied within the frameworks of the Gaussian HJM model and the lognormal model of Libor rates. We focus on the dynamics and distributional properties of spot, forward, and futures Libor rates under spot and forward martingale measures.
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 1999
ISSN: 1460-1559
DOI: 10.21314/jcf.1999.037