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The workshop is lectured by Mark Joshi, who has published many interesting math finance books and is also a long-time friend of Quantnet.
Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib with Mark Joshi
Day 1
Basics
and
Calibration
Early
Exercise
and
Greeks
Skew
and
Smiles
Further Information
Dates: 3 Days – 25 - 26th February 2009
Venue: Ada Lovelace Room, Institute of Physics, London, UK
Cost: £2600 inc. VAT
Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib with Mark Joshi
25-27th February, 2009
The Ada-Lovelace Room,
The Institute of Physics
76 Portland Place,
London, UK
The Institute of Physics
76 Portland Place,
London, UK
This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will be discussed at theoretical, practical and coding levels. The solution of these using QuantLib classes will be the focus of the course.
We will see how QuantLib provides a free easily-extendible implementation that achieves rapid pricing and sensitivity computation, and stable calibration to the market; whilst being able to cope with path-dependence, discontinuous pay-offs and early exercise features.Day 1
Basics
and
Calibration
- Why market models and theoretical underpinnings.
- Achieving a speedy Monte Carlo implementation: drift computation, drift approximation, accelerating convergence, latest implementations of Sobol
- QuantLib classes: MarketModelEvolver, LogNormalFwdRatePc, LogNormalFwdRateIpc, LogNormalCotSwapRatePc, LMMDriftCalculator, NormalFwdRatePc, BrownianGenerator, SobolRsg
- Calibration: time homogeneity, correlation structures, the pseudo-square root as a fundamental building block, stable simultaneous calibration to caplets and swaptions, period mismatches,
- QuantLib classes: MarketModel, SwapForwardMappings, FwdToCotSwapAdapter, CotSwapToFwdAdapter, PiecewiseConstantAbcdVariance, CTSMMCapletCalibration, CTSMMCapletMaxHomogeneityCalibration, capletSwaptionPeriodicCalibration
Early
Exercise
and
Greeks
- Pricing products with early exercise features, obtaining lower bounds. Least-squares method. Anderson’s method. Orthogonalization,
- QuantLib classes: NodeData, collectNodeData, MarketModelExerciseValue, LongstaffSchwartzExerciseStrategy, MarketModelBasisSystem, MarketModelParametricExercise, genericLongstaffSchwartzRegression
- Upper bounds for callable products.
- QuantLib classes: UpperBoundEngine
- Greek computation: partial proxy simulation and the conditional analytic method.
- QuantLib classes: ConstrainedEvolver, LogNormalFwdRateEulerConstrained
Skew
and
Smiles
- Using displaced diffusion to achieve skew
- QuantLib classes: how existing classes already include Displaced Diffusion
- Using Heston stochastic volatility to obtain smile: Monte Carlo implementation
- QuantLib classes: adding an extra evolver to implement stochastic volatility
- Analytic approximations of the stochastic vol LMM, calibration, SABR and the LMM
- QuantLib classes: possible ways to extend to encompass these cases
Further Information
Dates: 3 Days – 25 - 26th February 2009
Venue: Ada Lovelace Room, Institute of Physics, London, UK
Cost: £2600 inc. VAT
