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The computation of Greeks with multilevel Monte Carlo

Abstract:

In mathematical finance, the sensitivities of option prices to various market parameters, also known as the “Greeks”, reflect the exposure to different sources of risk. Computing these is essential to predict the impact of market moves on portfolios and to hedge them adequately. This is commonly done using Monte Carlo simulations. However, obtaining accurate estimates of the Greeks can be computationally costly.

Multilevel Monte Carlo offers complexity improvements over standard Mon...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Research group:
"Mathematical and Computational Finance Group", "Oxford-Man Institute of Quantitative Finance"
Oxford college:
Lady Margaret Hall
Role:
Author

Contributors

Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
Publication date:
2014
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK

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