Keywords: Multiasset options Option sensitivities or Greeks Malliavin calculus Monte Carlo and quasi-Monte Carlo methods a b s t r a c t This paper discusses simulation of sensitivities or Greeks of multiasset European and Asian style options by Malliavin calculus combined with Monte Carlo and quasi-Monte Carlo methods. By using the Malliavin calculus, we are able to express Greeks of both Euro...

In the Jewish Antiquities (I, 1, 3), when paraphrasing passage of Genesis 2, 10–15, Flavius Josephus notes that four rivers springing in paradise are Phison (Φεισὼν), which passes through India and is called Ganges by Greeks, Euphrates Tigris, flow into Red Sea, finally Geon, crosses Egypt Nile Greeks. Starting from Josephus’ comments, this research focuses on various interpretations passage, p...

Abstract The Greek Revolution of 1821–1829 mobilized the ideas classical reception and Philhellenism developed over previous century to appeal for international support war. These complicated influenced ways both Greeks non-Greeks thought about nation, its political character, language, literature, history, culture landscape. How revolution post-revolutionary Greece have been interpreted has sh...

Previous research has noted higher incidences of sexual violence on campus among members of campus Greeks and athletes and the need to do prevention programs with them. This article presents the results of an exploratory pilot study of a sexual violence prevention program with members of one fraternity, sorority, men's and women's intercollegiate athletic team. The program, experimentally evalu...

This paper presents a simple yet powerful simulation-based approach for approximating the values of prices and Greeks (ie, derivatives with respect to the underlying spot prices, such as delta, gamma, etc) for American-style options. This approach is primarily based upon the least squares Monte Carlo (LSM) algorithm and is thus termed the modified LSM (MLSM) algorithm. The key to this approach ...

We propose a fast algorithm for computing the economic capital, Value at Risk and Greeks in the Gaussian factor model. The algorithm proposed here is much faster than brute force Monte Carlo simulations or Fourier transform based methods [1]. While the algorithm of Hull-White [3] is comparably fast, it assumes that all the loans in the portfolio have equal notionals and recovery rates. This is ...

Alchemy traces its roots back to the Egyptian civilisation where it emerged as a practising art and science and an expression of the Egyptian religion. Thus it was that the Egyptian Thoth, the god of mathematics and science, became the inspirational source for the Hellenistic figure of Hermes Trismegistus, who in turn became the model for the medieval Mercurius. The Greeks learned their Alchemy...