Real-time risk management: An AAD-PDE approach
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DOI: 10.1142/S2424786315500395
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- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
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- Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
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Keywords
Adjoint algorithmic differentiation; option pricing by PDE; model calibration; parameter sensitivities; risk management;All these keywords.
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