A new simulation approach to the LIBOR market model
This article suggests a new approach for conducting Monte Carlo simulation within the BGM/J LIBOR model. We define a double layer of forwards that span the simulation horizon. These forwards define what we call the "double layer" forward (DLF) simulation scheme. Simulations can be up to another level of magnitude faster in this scheme than in the traditional scheme, with about the same accuracy. (c) 2006 Elsevier Ltd. All rights reserved.
libor market model monte carlo simulation