Monte Carlo simulation
Need for speed: banks explore FPGAs for portfolio modelling
The gate array way
Cutting Edge introduction: risky contributions
Risky contributions
Hybrid correlation matrices
Hybrid correlation matrices
Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank
Risk awards 2012
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Being particular about calibration
Being particular about calibration
Why insurers are turning to the least squares Monte Carlo modelling technique
The Monte Carlo method
Right Laplace, right time
Right Laplace, right time
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Cutting edge introduction
Be discrete
Random grids
Random grids
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
Technology innovation of the year
Technology innovation of the year
Technology vendor rankings 2011: The results
Technology triumphs
Stressed in Monte Carlo
Stressed in Monte Carlo
Sponsored statement: Capitects
Multi-period portfolio optimisation for structured investment strategies
Confidence in controlling risk measures
Insurers increasingly use stochastic simulation approaches for estimating risk capital, but numerical errors are rarely measured. A control variate method can improve the accuracy dramatically without increasing the number of simulations.
Balancing the benefits and costs of GPUs
Speed is the key
Valuation of commodity-based swing options
Reseach Papers
Valid Assumptions Required: an analysis of VaR for energy markets
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation to produce the VaR number.
Fast correlation Greeks by adjoint algorithmic differentiation
Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. Luca Capriotti and Mike Giles extend these ideas and show how adjoint algorithmic differentiation allows for fast calculation of price…
A rotationally invariant technique for rare event simulation
Because of their low probability, including extreme events in Monte Carlo calculations of the value-at-risk of a credit-risky portfolio requires many simulations. Here, Susanne Klöppel, Ranja Reda and Walter Schachermayer demonstrate a geometrically…