Interest rate derivatives - Juggling snowballs - Previous work on the valuation of cancellable snowball swaps in the Libor market model suggested the use of nested Monte Carlo simulations was needed to obtain accurate prices. Here, the authors introduce new techniques that allow tight bounds to be obtained quickly without sub-simulations. A key part of their work is a new identification of points ...
| Year of publication: |
2008
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|---|---|
| Authors: | Beveridge, Christopher ; Joshi, Mark |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 12, p. 100-104
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