It is widely believed that when evolving rates in the LIBOR market model to step over tenor dates the terminal measure must be used. We explain why this is not the case, and show that by very long stepping in the spot measure it is possible to obtain significant accuracy and standard error...

In this paper, we present a generic framework known as the minimal partial proxy simulation scheme. This framework allows for a stable computation of the Monte-Carlo Greeks for financial products with trigger features via finite difference approximation. The minimal partial proxy simulation...

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...