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Antoine Savine's Global Derivatives 2016 Talk
We demonstrate that smoothing, a technique derivatives traders use to stabilise the risk management of discontinuous exotics, is a particular use of Fuzzy Logic.
This realisation leads to a general, automated smoothing algorithm.
The algorithm is extensively explained and its implementation in C++ is provided as a part of our book with Wiley (2018):
Modern Computational Finance: Scripting for Derivatives and xVA
Antoine Savine's Global Derivatives 2016 Talk We demonstrate that smoothing, a technique derivatives traders use to stabilise the risk management of discontinuous exotics, is a particular use of Fuzzy Logic. This realisation leads to a general, automated smoothing algorithm. The algorithm is extensively explained and its implementation in C++ is provided as a part of our book with Wiley (2018): Modern Computational Finance: Scripting for Derivatives and xVA
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