Journal of Computational Finance

Risk.net

Fast and accurate Greeks for the LIBOR Market Model

Nick Denson, Mark Joshi

ABSTRACT

This paper derives the pathwise adjoint method for the predictor-corrector drift approximation in the displaced-diffusion LIBOR market model.We present a comparison of the log-Euler and predictor-corrector methods of obtaining Greeks, showing that both methods have the same computational order but that the latter method is much more accurate.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: