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.

• Item Type: Paper
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 1556-5068
• Language: English