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Effective Implementation of Generic Market Models

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  • Joshi, Mark S.
  • Liesch, Lorenzo

Abstract

A number of standard market models are studied. For each one, algorithms of computational complexity equal to the number of rates times the number of factors to carry out the computations for each step is introduced. Two new classes of market models are developed and it is shown for them that similar results hold.

Suggested Citation

  • Joshi, Mark S. & Liesch, Lorenzo, 2007. "Effective Implementation of Generic Market Models," ASTIN Bulletin, Cambridge University Press, vol. 37(2), pages 453-473, November.
    • Handle: RePEc:cup:astinb:v:37:y:2007:i:02:p:453-473_01
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    Cited by:

    1. Joshi, Mark & Yang, Chao, 2011. "Fast delta computations in the swap-rate market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 764-775, May.
    2. Ferdinando Ametrano & Mark Joshi, 2011. "Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 547-558.

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