Abstract In this paper, we apply importance sampling to Heston's stochastic volatility model and Bates's stochastic volatility model with jumps. We propose an effective numerical scheme that dramatically improves the speed of importance sampling. We show how the Greeks can be computed using the...

This paper tests the co-terminal swap market model (SMM) pricing and hedging performance on Bermudan swaptions. To our knowledge, the drift for SMM is derived explicitly for the first time here, and the procedures for calibration and simulation using a collection of forward swap rates are also...