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Computation methods - Fast correlation Greeks by adjoint algorithmic differentiation - Adjoint methods have recently been proposed as an efficient way to calculate risk through Mon...
Capriotti, Luca; Giles, Mike - In: Risk : managing risk in the world's financial markets 23 (2010) 4, pp. 79-84
Persistent link: https://www.econbiz.de/10008406350
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Computational methods - Adjoint Greeks made easy - The authors show how algorithmic differentiation can be used to systematically implement the adjoint calculation of sensitivities...
Capriotti, Luca; Giles, Michael - In: Risk : managing risk in the world's financial markets 25 (2012) 9, pp. 92-92
Persistent link: https://www.econbiz.de/10010025730
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RESEARCH PAPERS - Fast Greeks by algorithmic differentiation
Capriotti, Luca - In: The journal of computational finance 14 (2011) 3, pp. 3-37
Persistent link: https://www.econbiz.de/10008928330
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Credit risk - Real-time counterparty credit risk management in Monte Carlo
Capriotti, Luca; Lee, Jacky; Peacock, Matthew - In: Risk : managing risk in the world's financial markets 24 (2011) 6, pp. 82-87
Persistent link: https://www.econbiz.de/10009164739
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Pricing Fixed-Income Securities in an Information-Based Framework
Hughston, Lane P.; Macrina, Andrea - In: Applied mathematical finance 19 (2012) 4, pp. 361-380
Persistent link: https://www.econbiz.de/10009998602