Effective Implementation of Generic Market Models
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
UBM - Financial Risks
January 27, 2006
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.
Number of Pages in PDF File: 16
Keywords: market model, complexity, Monte Carlo
JEL Classification: C19working papers series
Date posted: June 12, 2006
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