随机自动微分-蒙特卡罗模拟的AAD - MVA近似方法(来自尼斯第14届量化金融会议的演示幻灯片)

Financial Engineering eJournal Pub Date : 2018-09-27 DOI:10.2139/ssrn.3263526

Christian P. Fries

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摘要

本报告的第一部分介绍了随机自动微分及其应用。本演讲的第二部分介绍了基于SIMM的MVA的简单“静态对冲”近似，并将其与精确解(其中精确解是通过随机自动微分获得的)进行比较。

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Stochastic Automatic Differentiation - AAD for Monte-Carlo Simulations - MVA Approximation Methods (Presentation Slides from the 14th Quant Finance Conference, Nice)

This first part of this presentation gives an introduction to stochastic automatic differentiation and its application. The second part of the presentation introduces a simple "static hedge" approximation for an SIMM based MVA and compares it with an exact solution (where the exact solution was obtained by the stochastic automatic differentiation).

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Financial Engineering eJournal

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