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From Model Greeks to Market Greeks

https://doi.org/10.2139/ssrn.2718194
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/oca.1000openalex-extracted
Efficient calibration of the Hull White model
inferredcites →https://doi.org/10.1007/3-540-30799-0openalex-extracted
Stochastic Calculus of Variations in Mathematical Finance
inferredcites →https://doi.org/10.1111/j.1471-4159.2008.05332.xopenalex-extracted
Neuroprotective actions of deferiprone in cultured cortical neurones and SHSY‐5Y cells
inferredcites →https://doi.org/10.21314/jcf.2011.234openalex-extracted
Fast Greeks by algorithmic differentiation
inferredcites →https://doi.org/10.2139/ssrn.1619626openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.1801522openalex-extracted
Algorithmic Differentiation: Adjoint Greeks Made Easy
inferredcites →https://doi.org/10.2139/ssrn.1896329openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2198417openalex-extracted
Algorithmic Differentiation in Finance: Root Finding and Least Square Calibration
inferredcites →https://doi.org/10.2139/ssrn.2219548openalex-extracted
Everything You Always Wanted to Know about Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
inferredcites →https://doi.org/10.2139/ssrn.427084openalex-extracted
A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models
inferredcites →https://doi.org/10.21314/jcf.2014.284openalex-snapshot
Adjoint algorithmic differentiation: calibration and implicit function theorem

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inferred← citeshttps://doi.org/10.2139/ssrn.3984964openalex-extracted
Automatic Implicit Function Theorem
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