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Bumping the Model

Fries, Christian P.: Bumping the Model: Generic robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method. (PDF, 0.5 MB). (Version 0.5.0 - December 27th, 2005).



In this article we give a short overview on sensitivity calculation using Monte-Carlo simulation and an introduction to the proxy simulation scheme method. We shortly discuss the localization technique and the implementation.

Other Resources

Comments and suggestions welcomed at email@christian-fries.de.