Technical paper/Monte Carlo simulation
Recursive profit-and-loss sharing
This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice.
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
Volume 16, Issue 5 (2014)
SABR symmetry
SABR symmetry