Open AccessA new approximate CVA of interest rate swap in the SABR/LIBOR market model: an asymptotic expansion approach
Author(s) -
Masahiro Nisiba
Publication year - 2011
Publication title -
procedia computer science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.334
H-Index - 76
ISSN - 1877-0509
DOI - 10.1016/j.procs.2011.04.152
Subject(s) - interest rate swap , libor market model , libor , computer science , sabr volatility model , swap (finance) , interest rate , econometrics , volatility smile , volatility (finance) , mathematics , economics , finance
The author presents a new approximate pricing formula for the credit valuation adjustment of interest rate swap in the SABR/LIBOR market model using an asymptotic expansion method. He compare it with Monte Carlo simulation. It is shown that the new method makes computations extremely fast
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