Efficient Greek Estimation in Generic Swap-Rate Market Models

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

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Year of publication:	2012
Authors:	Joshi, Mark S.
Other Persons:	Yang, Chao (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Griechenland \| Greece \| Schätztheorie \| Estimation theory \| Effizienz \| Efficiency \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Algorithmic Finance, Vol. 1, No. 1, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2011 erstellt
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013115156