Greeks
Fast correlation Greeks by adjoint algorithmic differentiation
Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. Luca Capriotti and Mike Giles extend these ideas and show how adjoint algorithmic differentiation allows for fast calculation of price…
Power plant Greeks
The computation of the price sensitivities - otherwise known as the Greeks - of a power plant is essential for proper hedging and risk management. However, due to the complexity and difficulty involved in the modelling of generation characteristics and…
A short cut to the rainbow
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is…
The vanna-volga method for implied volatilities
Cutting Edge - Option pricing
The vanna-volga method for implied volatilities
Option pricing
Globalisation and equity index exposure
Does the global presence of large multinational companies diminish the diversification effect inequity portfolios? Gary Robinson argues that this is indeed the case, and suggests a remedy
Static barriers
Exotic options