Speeding Up VAR with Smart Monte Carlo
34 Pages Posted: 1 Mar 2018
Date Written: February 22, 2018
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: Suggested Citation