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Capriotti, Luca
4
Giles, Michael B.
2
Giles, Michael
1
Giles, Mike
1
Higham, Desmond J.
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Lee, Jacky
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Risk : managing risk in the world's financial markets
3
Finance and stochastics
1
Operations research : the journal of the Operations Research Society of America
1
The journal of computational finance
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OLC EcoSci
ECONIS (ZBW)
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1
Multilevel Monte Carlo Path Simulation
Giles, Michael B.
- In:
Operations research : the journal of the Operations …
56
(
2008
)
3
,
pp. 607-617
Persistent link: https://www.econbiz.de/10008076763
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2
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.
;
Higham, Desmond J.
;
Mao, Xuerong
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 403-414
Persistent link: https://www.econbiz.de/10008274836
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3
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
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4
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
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5
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
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6
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
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