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Effective Implementation of Generic Market Models

Published online by Cambridge University Press:  17 April 2015

Mark S. Joshi  and
Lorenzo Liesch
Mark S. Joshi
Affiliation:
Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia, E-mail: mark@markjoshi.com
Lorenzo Liesch
Affiliation:
UBM, Financial Risk, Via Tommaso Grossi 10, 20141 Milan, Italy, E-mail: lieschl@libero.it
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Abstract

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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.

Keywords

Market modelefficiencyinterest rate derivatives

Information

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 2 , November 2007 , pp. 453 - 473
Copyright
Copyright © ASTIN Bulletin 2007

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