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.
Melting sensitivities: exact and approximate margin valuation adjustments
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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.