Computation methods - Fast correlation Greeks by adjoint algorithmic differentiation - Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. The authors extend these ideas and show how adjoint algorithmic differentiation allows for fast calculation of price sensitivities in full generality. They illustrate the method for the calculation ...
| Year of publication: |
2010
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| Authors: | Capriotti, Luca ; Giles, Mike |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 4, p. 79-84
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