Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk
management by specialized traders. However, the most important risk factors, which are the …

Indirect inference requires simulating realizations of endogenous variables from the model
under study. When the endogenous variables are discontinuous functions of the model …

Abstract Credit Valuation Adjustment is a balance sheet item which is nowadays subject to
active risk management by specialized traders. However, one of the most important risk …

We compute first-and second-order sensitivities of functions simulated by rejection
techniques. The methodology is to perform a measure change on every acceptance test, so …

We consider the problem of efficiently computing the full matrix of second-order sensitivities
of a Monte Carlo price when the number of inputs is large. Specifically, we analyze and …

We introduce a new simulation algorithm for computing the Hessians of Bermudan
swaptions and cancelable swaps. The resulting pathwise estimates are unbiased and …

We analyse and compare methods to compute the full set of second order sensitivities of a
Monte Carlo price in a time which is at most O (NT) where N is the number of inputs and T is …

This thesis introduces new Monte-Carlo methods for sensitivity analysis in stochastic
dynamical systems. Simulation is an efficient tool that provides solutions to problems with …