A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives

2013 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Efficient Implementation ◽  
Interest Rate Derivatives ◽  
Highly Efficient ◽  
Gpu Clusters ◽  
Path Dependent

scholarly journals A Comparison of Control Variate Methods for Pricing Interest Rate Derivatives in the LIBOR Market Model

2015 ◽  
Vol 3 (1) ◽  
pp. 48-58
Author(s):  
Chenglong Xu ◽  
Wei Guan ◽  
Yijuan Liang
Keyword(s):  
Interest Rate ◽  
Numerical Results ◽  
Market Model ◽  
Great Efficiency ◽  
Control Variates ◽  
Interest Rate Derivatives ◽  
Libor Market Model ◽  
Control Variate ◽  
Path Dependent

AbstractThis paper studies the control variate method for pricing interest rate derivatives driven by the LIBOR market model. Several control variates are constructed based on distinctive approximations for the LIBOR market model. Numerical results show the great efficiency of our methods. The idea in this paper can also be extended to price other interest rate derivatives under the LIBOR market model, such asSwaptions, Caps, some path dependent interest rate derivatives, and so forth.

scholarly journals Forex Risk Management by SMEs and Unlisted Non-financial Firms: A Literature Survey

2017 ◽  
Vol 8 (2) ◽  
pp. 145-166 ◽  
Author(s):  
Aman Chugh ◽  
Renuka Sharma ◽  
Kiran Mehta
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Emerging Markets ◽  
Financial Markets ◽  
Foreign Exchange ◽  
Foreign Exchange Risk ◽  
Interest Rate Derivatives ◽  
Financial Firms ◽  
Currency Derivatives ◽  
Exchange Risk

In the recent globalised financial markets, financial markets are more integrated which leads to more foreign exchange risk for firms. In such scenario currency derivatives are top most operational hedging strategy to manage foreign exchange risk. This scenario is different in developed and emerging markets as turnover of derivatives is growing swiftly in emerging markets and uses of currency derivatives is common but lower in comparison to the interest rate derivatives. In emerging markets (Hong Kong, Singapore and Brazil) use of currency derivatives is fifty per cent of total derivative traded follow by equity derivatives and interest rate derivatives (Mihaljek and Packer, 2010). The benefits of doing hedging have been discussed by many finance experts. These include classic contribution by Miller and Modigliani (1958) and then by Smith and Stulz (1985). Several studies have employed the questionnaire approach for the analysis of exchange-rate exposure management in non-financial firms (e.g. Bodnar and Gebhardt, 1999; Hakkarainen et al., 1998; Bodnar et al., 1998; Marshall, 2000; Ceuster et al., 2000; Mallin et al., 2001). The most refered study is Bodnar et al. (1998), which considered publicly traded U.S. firms. The present study examines the forex risk management by SMEs and unlisted non-financial forms in the form of literature review.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

2009 ◽  
Author(s):  
Duy Minh Dang ◽  
Christina Christara ◽  
Kenneth R. Jackson ◽  
Asif Lakhany
Keyword(s):  
Interest Rate ◽  
Interest Rate Derivatives ◽  
Pricing Framework
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