1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.CP2022★ 1 cited
Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU
Paul Bilokon, Sergei Kucherenko, Casey Williams
The calculation of option Greeks is vital for risk management. Traditional pathwise and finite-difference methods work poorly for higher-order Greeks and options with discontinuous…
q-fin.ST2021
Iterated and exponentially weighted moving principal component analysis
Paul Bilokon, David Finkelstein
The principal component analysis (PCA) is a staple statistical and unsupervised machine learning technique in finance. The application of PCA in a financial setting is associated w…