Pricing Bermuda Swaptions – infos, material and code needed pls.

(Last Updated On: August 3, 2011)

Pricing Bermuda Swaptions – infos, material and code needed pls.

Dear fellow quants!

I am looking for some material for pricing Bermuda Swaptions.
Does anybody have, or now where to get Matlab Codes or recommended books to get more insight specific in this topic?

At the moment I am using:
Brigo, Mercurio – Interest Rate Models Theory and Practice
Rebonato – The SABR/LIBOR Market Model
Dissertation Hippler – Pricing Bermudan Swaptions in the LMM (find it in google)

I want to price and calibrate bermuda swaptions by using following methodologies:
-black’s formula
-Longstaff-Schwarz algorithm
-regression based monte-carlo methods for early exercise options.

Thanks for your help.


Try this article on pricing interest rate swaption…it uses the black’s formula to explain how to value a simple swaption but very good indeed and may give you the background you need to value the bermudan….http://www.jstor.org/pss/4479437 .


for the paper. I do understand the pricing of swaption, but I am stuck with my Matlab implementation of the Bermudan Swaptions. (http://eprints.maths.ox.ac.uk/714/1/Dissertation_SteffenHippler.pdf)

here is my detailed question on Wilmott Forums:

if someone knows any suggestions or even Mr. Hippler himself, help would be highly appreciated.


You may also take a look at Glasserman “Monte Carlo methods in financial engineering” for the regression based monte carlo. It may help you with the algorithm. As for the LIBOR, the LFM is quite good described in Glasserman (I modeled it with R), which is not the case, however, with LSM which is used for swaptions. Do not hesitate to contact me if you have further questions with regard to it



NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
Don't miss out!

You will received instantly the download links.

Invalid email address
Give it a try. You can unsubscribe at any time.


Check NEW site on stock forex and ETF analysis and automation

Scroll to Top