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Fast greeks by simulation in forward LIBOR models
12 references·16 citing·39 second hop
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this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1991Gradient Estimation via Perturbation Analysis707 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 1989Sensitivity Analysis for Simulations via Likelihood Ratios253 cited
  • 1997Continuous-time term structure models: Forward measure approach160 cited
  • 1995Sensitivity Analysis for Monte Carlo Simulation of Option Pricing106 cited

Cited by

  • 2002Pricing Swaptions Within an Affine Framework75 cited
  • 2007Simulation-based pricing of convertible bonds70 cited
  • 2007Additive and multiplicative duals for American option pricing

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66 cited
  • 2001Pricing Models for Bermudan-style Interest Rate Derivatives60 cited
  • 2011Fast Greeks by algorithmic differentiation56 cited
  • 2005Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations54 cited
  • 2007Financial Modeling with Crystal Ball and Excel52 cited
  • 2011On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates48 cited
  • 2004Fast drift-approximated pricing in the BGM model42 cited
  • 2004Computing deltas of callable Libor exotics in forward Libor models41 cited
  • 2006An iterative method for multiple stopping: convergence and stability37 cited
  • 2002Using simulation for option pricing34 cited
  • 2015Overseas oil investment projects under uncertainty: How to make informed decisions?32 cited
  • 2001Computing Option Price Sensitivities Using Homogeneity and Other Tricks32 cited
  • 2012A Computational Approach to the Real Option Management of Network Contracts for Natural Gas Pipeline Transport Capacity31 cited
  • 2003A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models29 cited