Real-time risk management : an AAD-PDE approach
Year of publication: |
December 2015
|
---|---|
Authors: | Capriotti, Luca ; Jiang, Yupeng ; Macrina, Andrea |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 4, p. 1-31
|
Subject: | Adjoint algorithmic differentiation | option pricing by PDE | model calibration | parameter sensitivities | risk management | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory |
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