On 11/15/2005 10:21:39 AM, Ferdinando Ametrano wrote:
> On
11/15/05, Joseph Wang <[hidden email]> wrote:
> >
Here is a silly question. Why is it that LMM methods are used only
>
> with Monte Carlo and not with finite difference methods.
>
>
LMM are intrinsically high-dimension. If you model the 30-year yield
>
curve as a strip of 6-month forward libor you have 60 factors. FD
>
with more than 3 factors are less efficient than MC, and very hard
>
(almost impossible?) to implement.
Ok, so that was your
question.
Note to self: don't answer email before
coffee.
Later,
Luigi
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