Fast delta computations in the swap-rate market model
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Cited by:
- Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013.
"A flexible matrix Libor model with smiles,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
- Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers 1203.4786, arXiv.org.
- Jiun Hong Chan and Mark Joshi, 2012. "Optimal Limit Methods for Computing Sensitivities of," Department of Economics - Working Papers Series 1142, The University of Melbourne.
- Cristian Homescu, 2011. "Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance," Papers 1107.1831, arXiv.org.
- Joshi, Mark & Tang, Robert, 2014. "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 25-45.
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Keywords
Adjoint method Delta Computational order Market model Monte Carlo simulation;Statistics
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