Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all trades between each counterparty under both market and credit risk. We present a ...

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 ...

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 ...