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Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations
3 references·4 citing·22 second hop
Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations (2005)Smoking Adjoints: fast evaluation of Gree…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Fast greeks by simulation in forward LIBOR models (1999)Fast greeks by simulation in …The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Differential Machine Learning (2020)Differential Machine LearningVibrato Monte Carlo Sensitivities (2009)Vibrato Monte Carlo Sensitivi…Numerical methods for Lévy processes (2009)Numerical methods for Lévy pr…Adjoint-based Monte Carlo calibration of financial market models (2009)Adjoint-based Monte Carlo cal…Stochastic Simulation (1987)Numerical solution of stochastic differential equations (2016)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (2011)Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (2020)Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (2021)Pricing Swaptions Within an Affine Framework (2002)Stochastic Integration and Differential Equations (2005)Additive and multiplicative duals for American option pricing (2007)Simulation-based pricing of convertible bonds (2007)A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1999Fast greeks by simulation in forward LIBOR models88 cited

Cited by

  • 2009Adjoint-based Monte Carlo calibration of financial market models37 cited
  • 2009Numerical methods for Lévy processes34 cited
  • 2020Differential Machine Learning34 cited
  • 2009Vibrato Monte Carlo Sensitivities27 cited

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