Technical paper/Computational finance
Adjoint credit risk management
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 for credit products, even those valued with fast semi…
Options for collateral options
Options for collateral options
Local correlation families
Local correlation families
SABR symmetry
SABR symmetry
Adjoint Greeks made easy
Adjoint Greeks made easy