Tensoring dynamic sensitivities and dynamic initial margin

CLICK HERE TO DOWNLOAD PDF

Mariano Zeron and Ignacio Ruiz use Chebyshev tensors to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. Dynamic sensitivities are then used to compute dynamic initial margin as defined by Isda (standard initial margin model). The technique is benchmarked against the computation of dynamic sensitivities obtained by using pricing functions as found in risk engines. Numerical tests were done on foreign exchange swaps and spread

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here