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...

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...

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...