, is studied. The same explicit approach is used for both models. Using an approximation the LLM price is obtained without … Monte Carlo simulation. The results of the approximation are very good, with an error well below the uncertainty due to the …

An approximation approach to Constant Maturity Swaps (CMS) pricing in the separable one-factor Gaussian LLM and HJM … models is presented. The approximation used is a Taylor expansion on the swap rate as a function of a random variable which … discounting is written as a function of the swap rate. The approximation is very efficient. …

-type approach. The approximation is strike dependent, allowing a smile calibration. The approximation efficiency is analyzed in … presented here is a generic approximation that provides an explicit European swaptions price for local volatilities LMM. The … approximation is based on an initial freeze approximation very efficient in the Bond Market Model and an original corrector …

problem in terms of three correlated processes that incorporate FX skew via a local volatility function. This formulation … method being modestly more efficient than CN-GMRES-FFT. An analysis of the impact of the FX volatility skew on the PRDC swaps …' prices is presented, showing that the FX volatility skew results in lower prices (i.e. profits) for the payer of PRDC coupons …

with Bermudan cancelable features. We consider a three-factor pricing model with foreign exchange skew which results in a …