Fries, Christian P.
(2005):
Bumping the Model: Generic Robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method.
SSRN Electronic Journal
DOI: 10.2139/ssrn.872773
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.
Item Type: | Paper |
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Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
Subjects: | 500 Science > 510 Mathematics |
ISSN: | 1556-5068 |
Language: | English |
Item ID: | 115745 |
Date Deposited: | 23. Apr 2024, 07:31 |
Last Modified: | 23. Apr 2024, 07:32 |