activity
20112026
most citedInterest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

3 citations · 10 across the 9 of their papers we have counts for

collaborators
Showing 2015Show all

1 paper · 1 filter

q-fin.RM2015★ 2 cited

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis

Marco Bianchetti, Sergei Kucherenko, Stefano Scoleri

We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of incr…