Economics - Research Publications

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Author: Joshi, Mark × End date: 2010 × Start date: 2003 × Type: Preprint × Subject: efficiency. ×

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    Achieving decorrelation and speed simultaneously in the LIBOR market model
    Joshi, Mark S. ( 2006-03)
    An algorithm for computing the drift in the LIBORmarket model with additional idiosynchratic terms is introduced.This algorithm achieves a computational complexity of order equalto the number of common factors times the number of rates. Itis demonstrated that this allows better matching of correlation matrices in reduced-factor models.