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).

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• PDF, 0.5 MB (Version 0.5.0 - December 27th, 2005)

Abstract

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

• A more detailed paper on the proxy simulation scheme method is available.
• Presentation: Proxy Simulation Schemes: Presented at Quantitative Methods in Finance - 14-17 December 2005 - Sydney, Australia.