118 citations · 169 across the 13 of their papers we have counts for
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Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
Stefano Scoleri, Marco Bianchetti, Sergei Kucherenko
Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing and hedging representative financial instruments of increasing complexity. We compa…
Effective dimensionality reduction for Greeks computation using Randomized QMC
Luca Albieri, Sergei Kucherenko, Stefano Scoleri +1
Global sensitivity analysis is employed to evaluate the effective dimension reduction achieved through Chebyshev interpolation and the conditional pathwise method for Greek estimat…
The importance of being scrambled: supercharged Quasi Monte Carlo
J. Hok, S. Kucherenko
In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, u…
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…
Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo
Julien Hok, Sergei Kucherenko
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of a…