We present a new non-nested approach to computing additive upper bounds for callable derivatives using Monte Carlo simulation. It relies on the regression of Greeks computed using adjoint methods. We also show that it is is possible to early terminate paths once points of optimal exercise have...

We demonstrate how to compute first- and second-order sensitivities of portfolio credit derivatives such as synthetic collateralized debt obligation (CDO) tranches using algorithmic Hessian methods developed in Joshi and Yang (2010) in a single-factor Gaussian copula model. Our method is correct...

In this paper, we present three new discretization schemes for the Heston stochastic volatility model - two schemes for simulating the variance process and one scheme for simulating the integrated variance process conditional on the initial and the end-point of the variance process. Instead of...

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the...