Computational finance
Faster comparison of stopping times by nested conditional Monte Carlo
The authors propose a novel method for efficiently comparing the performance of different stopping times.
Importance sampling for jump processes and applications to finance
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
Optimal investment: bounds and heuristics
The authors present a technique for finding upper bounds on the value of a portfolio in a (possibly high-dimensional) optimal investment problem.
The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation
This paper deals with error estimators and mesh adaptation for a space-time finite element discretization of the basic Black-Scholes equation. An interesting modern numerical mathematical technique for a fundamental pricing equation in finance is…
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Options for collateral options
Options for collateral options
Local correlation families
Local correlation families
SABR symmetry
SABR symmetry
What tomorrow's hardware means for today's risk systems
The case for dynamic efficiency
Adjoint Greeks made easy
Adjoint Greeks made easy