Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedgin
We apply perturbation methods as well to Value-at-Risk (VaR), a measure of portfolio risk. Once a confidence level q is fixed, we first compute an approximation
Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume Perturbati