Develops basis-expansion reductions for stochastic hedge ratios with residual-minimization and projected-moment (Galerkin/Petrov-Galerkin) coefficient criteria to accelerate pathwise sensitivity-to-hedge conversion in Monte Carlo engines.
CV A sensitivities, hedging and risk
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Faster Forward Sensitivities: Reduced stochastic hedge ratios from pathwise algorithmic differentiation
Develops basis-expansion reductions for stochastic hedge ratios with residual-minimization and projected-moment (Galerkin/Petrov-Galerkin) coefficient criteria to accelerate pathwise sensitivity-to-hedge conversion in Monte Carlo engines.