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Efficient greek estimation in generic swap-rate market models

Wed, 30 May 2012 07:37:36 GMT

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models.

  • Content Type Journal Article
  • Pages 17-33
  • DOI 10.3233/AF-2011-002
  • Authors
    • Mark Joshi,
    • Chao Yang,

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