IDEAS home Printed from https://ideas.repec.org/a/rsk/journ4/2160982.html
   My bibliography  Save this article

Monte Carlo market Greeks in the displaced diffusion Libor market model

Author

Listed:
  • Mark S. Joshi
  • Oh Kang Kwon

Abstract

ABSTRACT This paper considers the problem of developing the sensitivities of exotic interest rate derivatives to the observed implied volatilities of caps and swaptions.We show how to compute these from the sensitivities to model volatilities in the displaced diffusion Libor market model. The example of a cancelable inverse floater is considered.

Suggested Citation

  • Mark S. Joshi & Oh Kang Kwon, . "Monte Carlo market Greeks in the displaced diffusion Libor market model," Journal of Risk, Journal of Risk.
    • Handle: RePEc:rsk:journ4:2160982
    as

    Download full text from publisher

    File URL: https://www.risk.net/journal-of-risk/2160982/monte-carlo-market-greeks-in-the-displaced-diffusion-libor-market-model
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ4:2160982. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-risk .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.