Concepedia

Greeks Computation

Greeks Computation is a computational methodology in quantitative finance that determines the sensitivity of derivative security prices to changes in underlying parameters, distinguishing itself by specifically quantifying risk exposures through partial derivatives such as delta, gamma, vega, theta, and rho.

43

Publications

2K

Citations

87

Authors

61

Institutions

Publications per year

2017–2026

6

Variants

Greeks Calculation

Parents

Publications

43

Applications of Malliavin calculus to Monte Carlo methods in finance

Éric Fournié, Jean‐Michel Lasry, Jérôme Lebuchoux et al. · Finance and Stochastics · 1999 · 565 citations

, , +17

Decoding the ancient Greek astronomical calculator known as the Antikythera Mechanism

Tony Freeth, Y. Bitsakis, X. Moussas et al. · Nature · 2006 · 352 citations

, , +6

A New Applied Approach for Executing Computations with Infinite and Infinitesimal Quantities

Yaroslav D. Sergeyev · Informatica · 2008 · 102 citations · Full text

, , +11

Fast greeks by simulation in forward LIBOR models

Paul Glasserman, Xiaoliang Zhao · The Journal of Computational Finance · 1999 · 93 citations

, , +17

Computations of Greeks in a market with jumps via the Malliavin calculus

Youssef El‐Khatib, Nicolas Privault · Finance and Stochastics · 2004 · 61 citations

, , +12

1–5 of 43

Authors

87

  1. LC
    Luca Capriotti

    Scuola Internazionale Superiore di Studi Avanzati, Italy

    5 publications · 136 citations

    5

    h-index

  2. MS
    Mark S. Joshi

    The University of Melbourne, Australia

    4 publications · 64 citations

    4

    h-index

  3. MB
    Michael B. Giles

    University of Oxford, United Kingdom

    3 publications · 118 citations

    3

    h-index

  4. AK
    Arturo Kohatsu‐Higa

    Universitat Pompeu Fabra, Spain

    2 publications · 76 citations

    2

    h-index

  5. EG
    Emmanuel Gobet

    École Polytechnique, France

    2 publications · 76 citations

    2

    h-index

1–5 of 87

Institutions

61

  1. Columbia University

    New York, United States

    5 h-index

    7 publications

    265 citations

  2. University College London

    London, United Kingdom

    3 h-index

    6 publications

    95 citations

  3. The University of Melbourne

    Melbourne, Australia

    3 h-index

    5 publications

    80 citations

  4. Université Paris Dauphine-PSL

    Paris, France

    2 h-index

    7 publications

    1.8K citations

  5. Centre de Mathématiques Appliquées de l'École polytechnique

    Palaiseau, France

    2 h-index

    2 publications

    60 citations

  6. University of Oxford

    Oxford, United Kingdom

    2 h-index

    2 publications

    65 citations

  7. Centre de Recherche en Mathématiques de la Décision

    Paris, France

    2 h-index

    7 publications

    1.8K citations

  8. Bank of America

    Charlotte, United States

    2 h-index

    2 publications

    105 citations

1–8 of 61

Venues

  1. SSRN Electronic Journal

    Repository · 7 publications · 150 citations

    7

    h-index

  2. The Journal of Computational Finance

    5 publications · 210 citations

    5

    h-index

  3. Finance and Stochastics

    3 publications · 647 citations

    3

    h-index

  4. Quantitative Finance

    2 publications · 54 citations

    2

    h-index

  5. Oxford University Research Archive (ORA) (University of Oxford)

    Repository · 2 publications · 75 citations

    2

    h-index

1–5