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target="_blank" rel="nofollow" href="#ue7ae42ac-c7c9-5c74-b50f-fd9b20f02f9f">CHAPTER 16: Risk Sensitivities with Monte‐Carlo
16.1 RISK INSTABILITIES
16.2 TWO APPROACHES TOWARD A SOLUTION
16.3 SMOOTHING FOR DIGITALS AND BARRIERS
16.4 SMOOTHING FOR SCRIPTED TRANSACTIONS
NOTE
CHAPTER 17: Support for Smoothing
CHAPTER 18: An Automated Smoothing Algorithm
18.1 BASIC ALGORITHM
18.2 NESTED AND COMBINED CONDITIONS
18.3 AFFECTED VARIABLES
18.4 FURTHER OPTIMIZATION
NOTE
CHAPTER 19: Fuzzy Logic
NOTE
CHAPTER 20: Condition Domains
20.1 FUZZY EVALUATION OF DISCRETE CONDITIONS
20.2 IDENTIFICATION OF CONDITION DOMAINS
20.3 CONSTANT EXPRESSIONS
NOTE
CHAPTER 21: Limitations
21.1 DEAD AND ALIVE
21.2 NON‐LINEAR USE OF FUZZY VARIABLES
CHAPTER 22: The Smoothing Factor
22.1 SCRIPTING SUPPORT
22.2 AUTOMATIC DETERMINATION
9 PART V: Application to xVA CHAPTER 23: xVA NOTE CHAPTER 24: Branching CHAPTER 25: Closing Remarks 25.1 SCRIPT EXAMPLES 25.2 MULTI‐THREADING AND AAD 25.3 ADVANCED LSM OPTIMIZATIONS
10 APPENDIX A: Parsing A.1 PREPARING FOR PARSING A.2 PARSING STATEMENTS A.3 RECURSIVELY PARSING CONDITIONS A.4 RECURSIVELY PARSING EXPRESSIONS A.5 PERFORMANCE NOTES
11 Bibliography
12 Index
Guide
8 Index
Pages
1 iii
2 iv
3 xi
4 xii
5 xiii
6 1
7 3
8 4
9 5
10 6
11 7
12 8
13 9
