Try Kunitomo and Ikeda (1992), which is likely referenced in more recent papers.

You can improve the accuracy of delta computations by implementing the "overshoot" technique, which removes the dt issue you described.  This technique is described in Hull's classic textbook.

And at the risk of moving into something of a rant, despite a very unimpressive track record of macroeconomics in forecasting pretty much anything, regulators are increasingly requiring financial firms to include forecasts of macroeconomic variables in their assessment of capital adequacy (e.g. CCAR...

What you seek seems to be a model that connects the "real" economy including fiscal and taxation policies with the financial economy.  As far as I am aware, no one has achieved anywhere near such an integrated view. DSGE (distributed stochastic general equilibrium) macro models as used by central ba...

You might be underestimating the difficulty of working in that asset class. At the risk of being less than scientific, I recall more commodity desk blowups than in other asset classes. Commodities are notoriously difficult to model and hedge because of evident price gapping behaviour, the markets ar...

BTW, the authors of that article are just journalists, if I'm not mistaken...."

You are mistaken. This particular research was done by qualified scientists and peer reviewed. And yes, having fewer or no children is something also found high on their list of things people can do on their own.

A couple of years ago I corresponded with one of the authors of a refereed article that rated the efficacy of actions for reducing one's personal environmental footprint. The article included the obvious suggestions (ditching the car, going vegetarian, etc.) but completely missed an obvious one - na...

Seeing as both Monte Carlo and binomial trees can be used to price options, can the poster's questions be related to the geometry of the binomial tree? 

Does it have to be options? If not, how about Treasury bond futures?

".... it is very very hard, for a life insurance company to be under distress."

You might instead consider stand-up comedy as a career?

Let's take this thread a little "outside"?

I recommend you read this:
https://www.newyorkfed.org/medialibrary ... RC-faq.pdf
The ARRC is the  Alternative Reference Rates Committee.

Forgetting options for a moment, ATMF means that no money needs to change hands today when agreeing to a transaction settling at some date later than spot settlement. Don’t get too hung up on measure here, just think of what the price has to be for the transaction to be arbitrage-free. Review the 'c...

Okay, I remembered it. Count the number of characters including blank spaces in the text string and convert the answer from decimal to octal. 

I've built my XLL add-ins using the Excel C API for ages but not lately, and I've forgotten a detail. The code line below assigns an error message string that will be returned by a function if a certain argument fails a certain error check: result.val.str = "\043Time_in_years must be non-negative!" ...