Speeding Up VAR with Smart Monte Carlo

34 Pages Posted: 1 Mar 2018

Date Written: February 22, 2018

Abstract

We show that VAR calculation speedup of an order of magnitude can be obtained using Smart Monte Carlo with a sophisticated interpolator. As a byproduct, we give some encouraging numerical results for evaluating N-dimensional Gaussian integrals without doing any integrals at all.

Keywords: VAR, speedup, Smart Monte Carlo, SMC, efficiency, fewer calls, price look-ups

JEL Classification: C14. C63, C65, G1

Suggested Citation

Dash, Jan and Zhang, Xinchong, Speeding Up VAR with Smart Monte Carlo (February 22, 2018). Available at SSRN: https://ssrn.com/abstract=3128331 or http://dx.doi.org/10.2139/ssrn.3128331

Jan Dash (Contact Author)

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

Xinchong Zhang

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States

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