Narrow search
Showing 1 - 6 of 6
Cover Image
Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model
Beveridge, Christopher - 2010
We discuss the issues involved in an efficient computation of the price and sensitivities of Bermudan exotic interest rate derivatives in the cross-currency displaced diffusion LIBOR market model. Improvements recently developed for an efficient implementation of the displaced diffusion LIBOR...
Persistent link: https://www.econbiz.de/10013139156
Cover Image
Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.; Joshi, Mark S.; Wright, Will M. - 2010
Persistent link: https://www.econbiz.de/10008806569
Cover Image
Fast Greeks for Markov-functional models using adjoint PDE methods
Denson, Nick; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806570
Cover Image
Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.; Wiguna, Alexander - 2011
Persistent link: https://www.econbiz.de/10009153351
Cover Image
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Cover Image
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo; Joshi, Mark - In: International journal of theoretical and applied finance 5 (2002) 7, pp. 667-694
Persistent link: https://www.econbiz.de/10001743233