Abstract

  
 

References (20)



 
 

Citations (4)



 


 



Efficient Greek Estimation in Generic Swap-Rate Market Models


Mark S. Joshi


University of Melbourne - Centre for Actuarial Studies

Chao Yang


University of Melbourne - Centre for Actuarial Studies
March 1, 2011

Algorithmic Finance, Vol. 1, No. 1, 2011

Abstract:     
We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models.

Number of Pages in PDF File: 18

Keywords: algorithmic finance, adjoint method, delta, vega, computational order, market model, Monte Carlo simulation

JEL Classification: G13

Accepted Paper Series


Download This Paper

Date posted: March 2, 2011  

Suggested Citation

Joshi, Mark S. and Yang, Chao, Efficient Greek Estimation in Generic Swap-Rate Market Models (March 1, 2011). Algorithmic Finance, Vol. 1, No. 1, 2011. Available at SSRN: http://ssrn.com/abstract=1773942

Contact Information

Mark Joshi (Contact Author)
University of Melbourne - Centre for Actuarial Studies ( email )
Melbourne, 3010
Australia
Chao Yang
University of Melbourne - Centre for Actuarial Studies ( email )
Melbourne, 3010
Australia
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 751
Downloads: 270
Download Rank: 54,404
References:  20
Citations:  4
Paper comments
No comments have been made on this paper

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo5 in 0.375 seconds