In this paper we examine the cost of using recalibrated single-factor <p> models to determine the exercise strategy for Bermudan swaptions in a <p> multi-factor world. We demonstrate that single-factor exercise strategies <p> applied in a multi-factor world only give rise to economically insignificant <p>...</p></p></p></p>

In this paper we study and implement a finite difference version of the augmented <p> state variable approach proposed by Hull & White (1993) that allows for pathdependent <p> securities. We apply the method to a class of path-dependent interest <p> rate derivatives and consider several examples...</p></p></p>

In this paper we analyze the mortgage choice faced by Danish borrowers. <p> Based on an analysis of the most popular Danish mortgage products, <p> we argue that Adjustable-Rate Mortgages (ARM) with life time caps will <p> combine the most attractive features from straight ARMs and callable <p> Fixed-Rate...</p></p></p></p>

This paper concerns the problem of valuing Bermudan swaptions in <p> a Libor market model. In particular we consider various efficiency improvement <p> techniques for a Monte Carlo based valuation method. We <p> suggest a simplification of the Andersen (2000) exercise strategy and find <p> it to be much...</p></p></p></p>