Narrow search
Showing 1 - 10 of 12
Cover Image
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297310
Cover Image
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797790
Cover Image
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
Cover Image
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924341
Cover Image
Fast and accurate Greeks for the LIBOR market model
Denson, Nick; Joshi, Mark S. - In: The journal of computational finance 14 (2010/11) 4, pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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
New and robust drift approximations for the Libor market model
Joshi, Mark S. (contributor); Stacey, Alan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297300
Cover Image
Fast and Accurate Greeks for the Libor Market Model
Denson, Nick - 2009
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...
Persistent link: https://www.econbiz.de/10013157145
Cover Image
Kooderive : Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps
Joshi, Mark S. - 2014
We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case
Persistent link: https://www.econbiz.de/10013059777