Lognormal Random Eld Approximations to Libor Market Models
نویسندگان
چکیده
We study several approximations for the LIBOR market models presented in 1, 2, 5]. Special attention is payed to log-normal approximations and their simulation by using direct simulation methods for log-normal random elds. In contrast to the conventional numerical solution of SDE's this approach simulates the solution directly at the desired point and is therefore much more eecient. We carry out a path-wise comparison of the approximations and give applications to the valuation of the swaption and the trigger swap.
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