Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Fast and accurate Greeks for the LIBOR Market Model
Nick Denson, Mark Joshi
Abstract
ABSTRACT
This paper derives the pathwise adjoint method for the predictor-corrector drift approximation in the displaced-diffusion LIBOR market model.We present a comparison of the log-Euler and predictor-corrector methods of obtaining Greeks, showing that both methods have the same computational order but that the latter method is much more accurate.
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