Fast Monte Carlo Bermudan Greeks
In recent years, much effort has been devoted to improving the efficiency of the Libor market model. Matthias Leclerc, Qian Liang and Ingo Schneider extend the pioneering work of Giles & Glasserman (2006) and show how fast calculations of Monte Carlo Greeks are feasible even within the framework of Bermudan-style derivatives. The authors demonstrate the efficiency gains in detail
Fast pricing and calculating hedging parameters are still a challenge in the framework of the Libor market model (LMM), which has become the fundamental pricing model in the fixed-income environment. Traditionally, for fixed-income securities, Greeks are calculated by the so-called bump and revalue method: each initial forward rate is perturbed by a basis-point shift and then the security is
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Regulation
EU states take the slow road to new cross-border services ban
Late national transposition hampers foreign banks’ decisions on location of affected activities
Don’t mention the rules: the fight against prediction market abuse
For the CFTC to regulate new venues effectively, it must first redefine insider trading
Can the US FRTB revamp make the IMA great again?
Banks are finally presented with a viable internal models framework under Basel III’s market risk rules
UK rethinking tougher capital rules for US bank subsidiaries
US endgame draft would trigger UK Basel III trap floor for foreign banks, but PRA is reviewing
EBA proposes drastic overhaul to supervisory data reporting
Revamp will cut back the number of datapoints and integrate overlapping reports
CFTC wants to regulate prediction markets. Is it up to the task?
Former officials echo state gambling authorities’ concerns over agency’s ability to police betting risks
EBA seeks to allay Simm divergence concerns
EU validator pledges to co-ordinate with global regulators, but retains ability to act alone “if needed”
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
