Very Long-stepping in the Spot Measure of the LIBOR Market Model

2010 ◽  
Vol 2 (6) ◽  
pp. 289-299 ◽  
Author(s):  
Christopher Beveridge
Keyword(s):  
Market Model ◽  
Libor Market Model

Comparing Discretization of the LIBOR Market Model in the Spot Measure

2008 ◽  
Author(s):  
Christopher Beveridge ◽  
Nick Denson ◽  
Mark S. Joshi
Keyword(s):  
Market Model ◽  
Libor Market Model

Calibration of the Multi-Currency LIBOR Market Model

2011 ◽  
Author(s):  
Kay F. Pilz ◽  
Erik Schlogl
Keyword(s):  
Market Model ◽  
Libor Market Model

A Multi-Curve Random Field LIBOR Market Model

2013 ◽  
Author(s):  
Tao L. Wu ◽  
Shengqiang Xu
Keyword(s):  
Random Field ◽  
Market Model ◽  
Libor Market Model

scholarly journals Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model

2016 ◽  
Vol 03 (01) ◽  
pp. 1650005 ◽  
Author(s):  
Patrik Karlsson ◽  
Shashi Jain ◽  
Cornelis W. Oosterlee
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Monte Carlo Simulations ◽  
Upper Bound ◽  
Market Model ◽  
Monte Carlo Approach ◽  
Lower Upper ◽  
Libor Market Model ◽  
Bermudan Swaptions

This paper describes an American Monte Carlo approach for obtaining fast and accurate exercise policies for pricing of callable LIBOR Exotics (e.g., Bermudan swaptions) in the LIBOR market model using the Stochastic Grid Bundling Method (SGBM). SGBM is a bundling and regression based Monte Carlo method where the continuation value is projected onto a space where the distribution is known. We also demonstrate an algorithm to obtain accurate and tight lower–upper bound values without the need for nested Monte Carlo simulations.

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