Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (With Applications to the LIBOR Market Model)

2005 ◽  
Author(s):  
Christian P. Fries ◽  
Joerg Kampen
Keyword(s):  
Monte Carlo ◽  
Importance Sampling ◽  
High Accuracy ◽  
Market Model ◽  
Libor Market Model ◽  
Process Oriented

scholarly journals Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model

2016 ◽  
Vol 03 (01) ◽  
pp. 1650005 ◽  
Author(s):  
Patrik Karlsson ◽  
Shashi Jain ◽  
Cornelis W. Oosterlee
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Monte Carlo Simulations ◽  
Upper Bound ◽  
Market Model ◽  
Monte Carlo Approach ◽  
Lower Upper ◽  
Libor Market Model ◽  
Bermudan Swaptions

This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM is a bundling and regression based Monte Carlo method where the continuation value is projected onto a space where the distribution is known. We also demonstrate an algorithm to obtain accurate and tight lower–upper bound values without the need for nested Monte Carlo simulations.

Monte Carlo market Greeks in the displaced diffusion Libor market model

2011 ◽  
Vol 14 (2) ◽  
pp. 23-37 ◽  
Author(s):  
Mark Joshi ◽  
Oh Kang Kwon
Keyword(s):  
Monte Carlo ◽  
Market Model ◽  
Libor Market Model

Comparing Discretization of the LIBOR Market Model in the Spot Measure

2008 ◽  
Author(s):  
Christopher Beveridge ◽  
Nick Denson ◽  
Mark S. Joshi
Keyword(s):  
Market Model ◽  
Libor Market Model
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