Fast drift computation in generic market models. We show that all the drifts
can be computed with number of factors times number of rates for a number of
market models including the LIBOR market model. This beats the naive approach
which takes order rates-squared computations.
Effective drift approximations for evolving the LIBOR market model.
We introduce a new drift approximation which is more effective than
predictor-corrector and other known techniques.
Lower bounds for callable derivatives in market models. We discuss extensions
to Longstaff-Schwartz.
Upper bounds for callable derivatives in market models. We reinterpret
existing upper bound methods in terms of the seller's price and extend them to
encompass callable products with non-analytic path-dependent payoffs.
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