Vibrato Monte Carlo sensitivities
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Publication:3405448
DOI10.1007/978-3-642-04107-5_23zbMATH Open1182.91197OpenAlexW1913204361MaRDI QIDQ3405448FDOQ3405448
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
Recommendations
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
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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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