FAST DELTA COMPUTATIONS IN THE SWAP MARKET MODEL MARK JOSHI AND CHAO YANG A BSTRACT. We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative (IRD) with - Swap rate - Document - PDFSEARCH.IO

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	FAST DELTA COMPUTATIONS IN THE SWAP MARKET MODEL MARK JOSHI AND CHAO YANG A BSTRACT. We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative (IRD) with Add to Reading List Document Date: 2013-08-05 02:14:59 Open Document File Size: 284,19 KB Share Result on Facebook Currency pence / / Facility TERMINAL S WAP M ARKET M ODEL / terminal SMM / / IndustryTerm callable/cancellable products / closed-form solution / risk-management tool / naive algorithm / / Person Fk / CHAO YANG / Ai / MARK JOSHI / CHAO YANG A BSTRACT / Vega / / Position co-terminal model / market model / Monte Carlo simulation / numeraire bond Pm / SWAP MARKET MODEL / bond Pm / / ProvinceOrState Tennessee / / Technology WAP / naive algorithm / simulation / / SocialTag Differential calculus Generalizations of the derivative Determinants Jacobian matrix and determinant Matrices Multivariable calculus Automatic differentiation Matrix Adjoint Mathematics

FAST DELTA COMPUTATIONS IN THE SWAP MARKET MODEL MARK JOSHI AND CHAO YANG A BSTRACT. We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative (IRD) withAdd to Reading List