Technical paper/Monte Carlo simulation
Adjoint Greeks made easy
Adjoint Greeks made easy
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
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
Cutting Edge introduction: risky contributions
Risky contributions
Hybrid correlation matrices
Hybrid correlation matrices
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
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
Stressed in Monte Carlo
Stressed in Monte Carlo
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.
Valuation of commodity-based swing options
Reseach Papers
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…