通用市场模型中的有效希腊估计

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE Journal of Derivatives Pub Date : 2009-07-23 DOI:10.2139/ssrn.1437847

M. Joshi, Chao Yang

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引用次数: 7

摘要

我们首先开发了一种有效的算法来计算一些标准市场模型的利率衍生品的delta。算法的计算复杂度与速率数乘以每一步的因子数成正比。然后，我们将展示如何扩展该方法，以便在这些市场模型中有效地计算维加斯。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Efficient Greek Estimation in Generic Market Models

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the method to efficiently compute Vegas in those market models.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets