Monte Carlo simulation Technical paper articles - Risk.net

Risk management

Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods

27 Mar 2013

Markets

Rational shapes of local volatility

29 Jan 2013

Energy

Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets

18 Jan 2013

Credit risk

Credit default swap spreads, fair-value spreads and interest rate dynamics

18 Dec 2012

Credit risk

Calibration of structural and reduced-form recovery models

18 Dec 2012

Original research

Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility

18 Dec 2012

Risk management

Adjoint Greeks made easy

01 Nov 2012

Original research

Failure of the saddlepoint method in the presence of double defaults

27 Sep 2012

Central banks

Estimating the intraday liquidity risk of financial institutions: a Monte Carlo simulation approach

27 Sep 2012

Markets

Adjoint Greeks made easy

03 Sep 2012

Cutting Edge

Adjusting value-at-risk for market liquidity

26 Jul 2012

Credit risk

Cutting CVA's complexity

04 Jul 2012

Risk management

Analytical risk contributions for non-linear portfolios

29 Feb 2012

Risk management

Analytical risk contributions for non-linear portfolios

29 Feb 2012

Market risk

Cutting Edge introduction: risky contributions

Risky contributions

06 Feb 2012

Markets

Hybrid correlation matrices

25 Jan 2012

Markets

Perturbed Gaussian copula: introducing the skew effect in co-dependence

06 Jan 2012

Markets

Being particular about calibration

Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…