Greeks
Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
This paper deals with the computation of second-order or higher Greeks of financial securities. It combines two methods, vibrato and automatic differentiation (AD), and compares these with other methods.
Importance sampling applied to Greeks for jump–diffusion models with stochastic volatility
In this paper, the authors develop a procedure to reduce the variance when numerically computing the Greeks obtained via Malliavin calculus for jump–diffusion models with stochastic volatility.
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Reducing noise is as important as radical change
Quants study ways to reduce noise in XVA Greeks calculations
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in 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
The efficient application of automatic differentiation for computing gradients in financial applications
Automatic differentiation is the theme of this paper. The authors show that many functions in calibration and inverse problems, exhibit a natural substitution structure. A significant speedup is achieved compared with common reverse-mode AD.
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Managing option-trading risk when mental accounting influences prices
This paper explores the implications for risk management of mental accounting of a call option with its underlying.
Citi exec laments plight of the quants
Quant Congress USA: Quant departments have become “sterile” and “dumbed-down”
Structured products desks join the AAD revolution
Mathematical technique allows dealers to perform risk-sensitivity calculations 50 times faster
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
Adjoint Greeks made easy
Adjoint Greeks made easy
Adjoint Greeks made easy
Adjoint Greeks made easy
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
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…