Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model

DOI10.1088/1469-7688/4/3/003zbMath1405.91627OpenAlexW2134851826MaRDI QIDQ4610234

Mark S. Joshi, Dherminder Kainth

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/003

zbMATH Keywords

Greekscredit swapsLi model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) ⋮ On an automatic and optimal importance sampling approach with applications in finance ⋮ Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula ⋮ Copula sensitivity analysis for portfolio credit derivatives ⋮ Numerical methods to quantify the model risk of basket default swaps ⋮ Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models ⋮ Importance sampling for integrated market and credit portfolio models ⋮ Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas ⋮ Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ A set-valued Markov chain approach to credit default

Cites Work

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• Applications of Malliavin calculus to Monte Carlo methods in finance
• Estimating Security Price Derivatives Using Simulation
• Dependence structures for multivariate high-frequency data in finance

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