Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk...
We present two new efficient methods for the Monte Carlo computation of the (cross-) Gammas of a Bermudan swaption in the LIBOR market model. One approach is a combination of the finite difference method...
Volume 17, Issue 3, 2014
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Swaption articles
Market is split on how to report volumes for multi-legged trades
As 2012 drew to a close, UBS became the second bank to settle a Libor interest rate-rigging investigation, for a sum of roughly $1.5 billion. Royal Bank of Scotland (RBS) is expected to follow shortly,...
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
Risk awards 2012
Risk awards 2011
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.