✦ LIBER ✦

A new simulation approach to the LIBOR market model

✍ Scribed by Henry Schellhorn; Zhihua Chen

Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 554 KB
Volume: 44
Category: Article
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2006.01.024

No coin nor oath required. For personal study only.

✦ Synopsis

This article suggests a new approach for conducting Monte Carlo simulation within the BGM/J LIBOR model. We define a double layer of forwards that span the simulation horizon. These forwards define what we call the "double layer" forward (DLF) simulation scheme. Simulations can be up to another level of magnitude faster in this scheme than in the traditional scheme, with about the same accuracy.

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