Fast greeks by simulation in forward LIBOR models
暂无分享,去创建一个
[1] Pierre-Louis Lions,et al. Applications of Malliavin calculus to Monte-Carlo methods in finance. II , 2001, Finance Stochastics.
[2] Alan Weiss,et al. Sensitivity Analysis for Simulations via Likelihood Ratios , 1989, Oper. Res..
[3] Xi-Ren Cao,et al. Perturbation analysis of discrete event dynamic systems , 1991 .
[4] Farshid Jamshidian,et al. LIBOR and swap market models and measures , 1997, Finance Stochastics.
[5] M. Musiela,et al. The Market Model of Interest Rate Dynamics , 1997 .
[6] Paul Glasserman,et al. Arbitrage-free discretization of lognormal forward Libor and swap rate models , 2000, Finance Stochastics.
[7] D. Sondermann,et al. Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates , 1997 .
[8] P. Protter. Stochastic integration and differential equations , 1990 .
[9] P. Kloeden,et al. Numerical Solution of Stochastic Differential Equations , 1992 .
[10] P. Glasserman,et al. Estimating security price derivatives using simulation , 1996 .
[11] Marek Musiela,et al. Continuous-time term structure models: Forward measure approach , 1997, Finance Stochastics.
[12] René Boel,et al. Discrete Event Systems , 2000 .
[13] Paul Glasserman,et al. Gradient Estimation Via Perturbation Analysis , 1990 .
[14] D. Heath,et al. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation , 1990, Journal of Financial and Quantitative Analysis.
[15] Pierre-Louis Lions,et al. Applications of Malliavin calculus to Monte Carlo methods in finance , 1999, Finance Stochastics.
[16] P. Glynn,et al. Likelihood ratio gradient estimation for stochastic recursions , 1995, Advances in Applied Probability.
[17] Michael C. Fu,et al. Sensitivity Analysis for Monte Carlo Simulation of Option Pricing , 1995, Probability in the Engineering and Informational Sciences.