Monte Carlo simulation
What tomorrow's hardware means for today's risk systems
The case for dynamic efficiency
Rational shapes of local volatility
Rational shapes of local volatility
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Adjoint Greeks made easy
Adjoint Greeks made easy
Technology innovation: Numerix
Structured Products Asia Awards 2012
Adjoint Greeks made easy
Adjoint Greeks made easy
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Cutting CVA's complexity
Cutting CVA's complexity
Banks look to cut corners on CVA computation
Cutting CVA corners
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
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
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Why insurers are turning to the least squares Monte Carlo modelling technique
The Monte Carlo method
Right Laplace, right time
Right Laplace, right time