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 -