Sensitivities
Stretched margins: growing pains for Simm
The standard initial margin model could become more strained as its use expands in 2017
FRTB: a work in progress
Banks cannot wait for clarification but must forge ahead
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Sense and sensitivities: Isda Simm is not so simple
Three industry experts argue initial margin calculations for uncleared trades won't work without centralised calibration of sensitivities
Three months left: dealers fret over slow start to Simm tests
Banks "still working like mad" in race to implement standard margin model
Greeks with continuous adjoints: fast to code, fast to run
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
The beta stochastic volatility model
The beta stochastic volatility model
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Adjoint Greeks made easy
Adjoint Greeks made easy