Effective Implementation of Generic Market Models
16 Pages Posted: 12 Jun 2006
Date Written: 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.
Keywords: market model, complexity, Monte Carlo
JEL Classification: C19
Suggested Citation: Suggested Citation