Effective Implementation of Generic Market Models

16 Pages Posted: 12 Jun 2006

See all articles by Mark S. Joshi

Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies (deceased)

Lorenzo Liesch

UBM - Financial Risks

Date Written: 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.

Keywords: market model, complexity, Monte Carlo

JEL Classification: C19

Suggested Citation

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

Mark Joshi (Contact Author)

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

Melbourne, 3010
Australia

Lorenzo Liesch

UBM - Financial Risks ( email )

Via Tommaso Grossi, 10
Milan, 20121
Italy

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