Computational Finance: On the Search for Performance
Research output: Book/Report › Ph.D. thesis › Research
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Computational Finance : On the Search for Performance. / Rasmussen, Lykke.
Department of Mathematical Sciences, Faculty of Science, University of Copenhagen, 2016. 179 p.Research output: Book/Report › Ph.D. thesis › Research
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TY - BOOK
T1 - Computational Finance
T2 - On the Search for Performance
AU - Rasmussen, Lykke
PY - 2016
Y1 - 2016
N2 - One of the major challenges in todays post-crisis finance environment is calculatingthe sensitivities of complex products for hedging and risk management.Historically, these derivatives have been determined using bump-and-revalue, butdue to the increasing magnitude of these computations does this get increasinglydicult on available hardware. In this paper three alternative methods for evaluatingderivatives are compared: the complex-step derivative approximation, thealgorithmic forward mode and the algorithmic backward mode. These are appliedto the price of the Credit Value Adjustment for an interest rate swap, and subsequentlyassessed in terms of accuracy, stability and run time. Hands-on detailsare provided for the implementation along with a thorough validation framework
AB - One of the major challenges in todays post-crisis finance environment is calculatingthe sensitivities of complex products for hedging and risk management.Historically, these derivatives have been determined using bump-and-revalue, butdue to the increasing magnitude of these computations does this get increasinglydicult on available hardware. In this paper three alternative methods for evaluatingderivatives are compared: the complex-step derivative approximation, thealgorithmic forward mode and the algorithmic backward mode. These are appliedto the price of the Credit Value Adjustment for an interest rate swap, and subsequentlyassessed in terms of accuracy, stability and run time. Hands-on detailsare provided for the implementation along with a thorough validation framework
UR - https://soeg.kb.dk/permalink/45KBDK_KGL/1pioq0f/alma99122232556405763
M3 - Ph.D. thesis
SN - 978-87-7078-943-1
BT - Computational Finance
PB - Department of Mathematical Sciences, Faculty of Science, University of Copenhagen
ER -
ID: 162864309