Bumping the Model: Generic Robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method

Fries, Christian P. (2005): Bumping the Model: Generic Robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method. SSRN Electronic Journal

Abstract

In this article we give a short overview on sensitivity calculation using Monte-Carlo simulation and an introduction to the proxy simulation scheme method. We shortly discuss the localization technique and the implementation.

• Dokumententyp: Paper
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1556-5068
• Sprache: Englisch