Fast gammas for Bermudan swaptions

Fast gammas for Bermudan swaptions

maths-equations

The market for Bermudan swaptions is a large chunk of the interest rate derivatives business, so calculation of their sensitivities is an important task for risk management. However, as their optimal exercise time is not known in advance, this is also challenging. In this article, we show how to improve the forward method approach of Korn & Liang (2013) by developing an adjoint version of the pathwise method for calculating the gamma matrix in a standard Libor market model framework. In contrast

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