Flaming Logs

7 Pages Posted: 28 May 2009

See all articles by Nick Denson

Nick Denson

University of Melbourne - Centre for Actuarial Studies

Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies (deceased)

Date Written: May 28, 2009

Abstract

This paper extends the pathwise adjoint method for Greeks to the displaced-diffusion LIBOR market model and also presents a simple way to improve the speed of the method. The speed improvements of approximately 20% are achieved without using any additional approximations to those of Giles and Glasserman.

Keywords: Pathwise adjoint method, LIBOR market model, delta, vega

JEL Classification: G13

Suggested Citation

Denson, Nick and Joshi, Mark, Flaming Logs (May 28, 2009). Available at SSRN: https://ssrn.com/abstract=1411073 or http://dx.doi.org/10.2139/ssrn.1411073

Nick Denson (Contact Author)

University of Melbourne - Centre for Actuarial Studies ( email )

Melbourne
Australia

Mark Joshi

University of Melbourne - Centre for Actuarial Studies (deceased) ( email )

Melbourne, 3010
Australia

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