The decomposition of portfolio risks in terms of the underlying assets, which are extremely important for risk budgeting, asset allocation and risk monitoring, is well described by risk contributions.

The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

SIAM Journal on Numerical Analysis, Vol. 37, No. 1 (Nov. - Dec., 1999), pp. 105-130 (26 pages) The simplest finite difference approximations for spatial derivatives are centered, explicit, and applied ...

Peter Austing shows how to set up finite difference solvers to exactly recover the prices of all vanilla options on the grid. The approach leads to a specific discretisation of Dupire’s formula. It ...

The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...