Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks

DOI10.3233/AF-150045zbMath1395.91491OpenAlexW3125713469MaRDI QIDQ4586447

Luca Capriotti

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-150045

zbMATH Keywords

Monte Carlorisk managementderivatives securitiesadjoint algorithmic differentiation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS ⋮ Automatic adjoint differentiation for gradient descent and model calibration ⋮ Fast delta computations in the swap-rate market model ⋮ Unnamed Item ⋮ Algorithmic Differentiation of Numerical Methods

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