Flaming logs

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2009 English Publisher:WileyJournal:Wilmott Journal, volume 1, pages 259-262 (issn: 1759-6351, eissn: 1759-636X,

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Authors: Nick Denson; Mark S. Joshi;

doi: 10.1002/wilj.23 , 10.2139/ssrn.1411073

Flaming logs

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Abstract

AbstractThis paper extends the pathwise adjoint method for Greeks to the displaced‐diffusion LIBOR market model and also presents a simple way to improve the speed of the method. The speed improvements of approximately 20% are achieved without using any additional approximations to those of Giles‐Glasserman. Copyright © 2009 Wilmott Magazine Ltd

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