论文信息 - Efficient Greek Estimation in Generic Market Models

Efficient Greek Estimation in Generic Market Models

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models.

Chao Yang | Mark S. Joshi

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