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Credit risk - Real-time counterparty credit risk management in Monte Carlo

Capriotti, Luca; Lee, Jacky; Peacock, Matthew - In: Risk : managing risk in the world's financial markets 24 (2011) 6, pp. 82-87

Persistent link: https://www.econbiz.de/10009164739

RESEARCH PAPERS - Fast Greeks by algorithmic differentiation

Capriotti, Luca - In: The journal of computational finance 14 (2011) 3, pp. 3-37

Persistent link: https://www.econbiz.de/10008928330

Computational methods - Adjoint Greeks made easy - The authors show how algorithmic differentiation can be used to systematically implement the adjoint calculation of sensitivities in Monte Carlo for general path-dependent and multi-asset options, with minimal analytical effort. With several examples, they illustrate the workings of this technique and demonstrate how it can be straightforwardly ...

Capriotti, Luca; Giles, Michael - In: Risk : managing risk in the world's financial markets 25 (2012) 9, pp. 92-92

Persistent link: https://www.econbiz.de/10010025730

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 ...

Capriotti, Luca; Giles, Mike - In: Risk : managing risk in the world's financial markets 23 (2010) 4, pp. 79-84

Persistent link: https://www.econbiz.de/10008406350

Pricing Fixed-Income Securities in an Information-Based Framework

Hughston, Lane P.; Macrina, Andrea - In: Applied mathematical finance 19 (2012) 4, pp. 361-380

Persistent link: https://www.econbiz.de/10009998602

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