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Effective Implementation of Generic Market Models


Mark S. Joshi


University of Melbourne - Centre for Actuarial Studies

Lorenzo Liesch


UBM - Financial Risks
January 27, 2006


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.

Number of Pages in PDF File: 16

Keywords: market model, complexity, Monte Carlo

JEL Classification: C19

working papers series


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Date posted: June 12, 2006  

Suggested Citation

Joshi, Mark S. and Liesch, Lorenzo, Effective Implementation of Generic Market Models (January 27, 2006). Available at SSRN: http://ssrn.com/abstract=907387 or http://dx.doi.org/10.2139/ssrn.907387

Contact Information

Mark Joshi (Contact Author)
University of Melbourne - Centre for Actuarial Studies ( email )
Melbourne, 3010
Australia
Lorenzo Liesch
UBM - Financial Risks ( email )
Via Tommaso Grossi, 10
Milan, 20121
Italy
Feedback to SSRN (Beta)


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