Economics - Research Publications
Permanent URI for this collection
Search Results
1 - 10 of 13
-
Item
-
ItemAchieving decorrelation and speed simultaneously in the LIBOR market model( 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.
-
ItemIntensity gamma: a new approach to pricing portfolio credit derivatives( 2006-03)We develop a completely new model for correlation of credit defaults basedon a financially intuitive concept of business time similar to that in the Variance Gammamodel for stock price evolution. Solving a simple equation calibrates each name to itscredit spread curve and we show that the overall model can be calibrated to the marketbase correlation curve of a tranched CDO index. Once this calibration is performed,obtaining consistent arbitrage-free prices for non-standard tranches, products based ondifferent underlying names and even more exotic products such as CDO2 is straightforward and rapid.
-
ItemNew and robust drift approximations for the LIBOR market model(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2008-01-01)
-
ItemUsing Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options(Infopro Digital Services, 2007-06)
-
ItemEffective implementation of generic market models( 2006-03)A number of standard market models are studied. Foreach one, algorithms of computational complexity equal to thenumber of rates times the number of factors to carry out the computationsfor each step is introduced. Two new classes of marketmodels are developed and it is shown for them that similar results hold.
-
ItemA simple derivation of and improvements to Jamshidian’s and Rogers’ upper bound methods for Bermudan options( 2006-03)The additive method for upper bounds for Bermudanoptions is rephrased in terms of buyer’s and seller’s prices. It isshown how to deduce Jamshidian’s upper bound result in a simplefashion from the additive method, including the case of possiblyzero final pay-off. Both methods are improved by ruling out exerciseat sub-optimal points. It is also shown that it is possible to usesub- Monte Carlo simulations to estimate the value of the hedgingportfolio at intermediate points in the Jamshidian method withoutjeopardizing its status as upper bound.
-
ItemMonte Carlo bounds for callable products with non-analytic break costs(Centre for Actuarial Studies, The University of Melbourne, 2006)
-
ItemFAST SENSITIVITY COMPUTATIONS FOR MONTE CARLO VALUATION OF PENSION FUNDS(PEETERS, 2010-11-01)
-
Item