Computational Problems

Radu Tunaru

Chapter 10 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 227-255 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionProblems with Monte Carlo Variance Reduction TechniquesPitfalls in Estimating Greeks with Pathwise Monte Carlo SimulationPitfall in Options Portfolio Calculation by Approximation MethodsTransformations and ExpansionsEdgeworth expansionComputational issues for MLECalculating the Implied VolatilityExistence and uniqueness of implied volatility under Black-ScholesApproximation formulae for implied volatilityAn interesting exampleIncorrect Implied Volatility for Merton ModelNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
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