This paper derives the pathwise adjoint method for the predictor-corrector drift approximation in the displaced-diffusion LIBOR market model. We present a comparison of the Greeks between log-Euler and predictor-corrector, showing both methods have the same computational order but the latter to...

This paper demonstrates how the adjoint PDE method can be used to compute Greeks in Markov-functional models. This is an accurate and efficient way to compute Greeks, where most of the model sensitivities can be computed in approximately the same time as a single sensitivity using finite...

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...