Efficient Greek estimation in generic swap-rate market models (Q2919950)
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scientific article; zbMATH DE number 6097885
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| English | Efficient Greek estimation in generic swap-rate market models |
scientific article; zbMATH DE number 6097885 |
Statements
23 October 2012
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adjoint method
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Delta
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Vega
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computational order
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market model
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Monte Carlo simulation
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Efficient Greek estimation in generic swap-rate market models (English)
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0.8655276894569397
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0.7737231850624084
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0.7734484672546387
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0.7509520649909973
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0.7456167340278625
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