Vibrato Monte Carlo sensitivities

DOI10.1007/978-3-642-04107-5_23MaRDI QIDQ3405448zbMATH OpenOpenAlexFDO

Authors Mike Giles

Publication date 15 February 2010

Published in Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04107-5_23

zbMATH Keywords

Greekssensitivitieslikelihood ratio method (LRM)vibrato Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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• On the data-driven COS method
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• Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
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• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS
• Likelihood ratio method and algorithmic differentiation: fast second order Greeks

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