Effective Implementation of Generic Market Models

Mark Joshi and Lorenzo Liesch

ASTIN Bulletin, 2007, vol. 37, issue 2, 453-473

Abstract: A number of standard market models are studied. For each one, algorithms of computational complexity equal to the number of rates times the number of factors to carry out the computations for each step is introduced. Two new classes of market models are developed and it is shown for them that similar results hold.

Date: 2007
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