Adjoint differentiation is an efficient way to accurately calculate the Greeks of Libor derivatives by Monte Carlo simulation. Ralf Korn and Qian Liang extend this to calculate the gamma matrices of Bermudan...
The computational requirements of Solvency II are driving the need for more computing power and data storage accessible on a scalable basis. Early adopters are leveraging cloud computing for their Solvency II implementation. Others are taking a more cautious approach, waiting for the industry to address key concerns such as security before they to embrace computing.
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Power-reverse dual-currency notes proved a bonanza for dealers when markets were tame, but risk-managing the product has become a drain on resources and cash in recent years. As a result, some firms have decided to exit the market. Mark Pengelly investigates...
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.