This paper studies an approximation method for the log likelihood function of a non-linear diffusion process using the bridge of the diffusion. The main result (Theorem 1) shows that this approximation converges uniformly to the unknown likelihood function and can therefore be used efficiently...

Infinitesimal sensitivities, computed as derivatives of pricing functions, are useful to find high-frequency hedge ratios. However, they are less useful for the purpose of optimising 2-week VaR, especially if one includes shocks from stressed periods, as is required for applications to margin...

We are interested in the kernel of one-dimensional diffusion equations with continuous coefficients as evaluated by means of explicit discretization schemes of uniform step hgt;0 in the limit as h approaches 0. We consider both semidiscrete triangulations with continuous time and explicit Euler...

Implementations of the Standard Initial Margin Model (SIMM) and the Sensitivity Based Approach (SBA) in the Fundamental Review of the Trading Book (FRTB), both call for the calculation of sensitivities with respect to a standardised set of risk factors. Since standard factors are generally...