Efficient greek estimation in generic swap-rate market models.
Mark S. JoshiChao YangPublished in: Algorithmic Finance (2011)
Keyphrases
- monte carlo simulation
- decision making
- domain specific
- parameter estimation
- diffusion model
- parametric models
- probabilistic model
- computationally expensive
- complex systems
- accurate estimation
- estimation algorithm
- density estimation
- cost effective
- experimental data
- statistical model
- database
- computationally efficient
- supply chain
- data structure
- genetic algorithm
- real time