Economics - Theses

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Author: YANG, CHAO × End date: 2019 × Start date: 2010 × Subject: derivatives pricing ×

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    Generic algorithmic differentiation methods for computing financial derivative Greeks
    YANG, CHAO ( 2011)
    This thesis aims to introduce new methodologies for computing first- and second-order sensitivities of financial derivatives in an efficient way. The principal application of the new approaches is to compute first- and second-order greeks of exotic interest-rate products in the framework of generic market models.