Cutting edge introduction: The only way is backward

Quants find way to streamline future value calculations for exotic

numbers-random

The future value of a trade is a key part of many derivatives calculations, affecting everything from valuation adjustments to value-at-risk and potential future exposures. It is also difficult to calculate for exotic products that have multiple exercise dates, such as flexi-caps, and usually involves running two time-consuming simulations.

In this month's first technical, Backward induction for future values, Alexandre Antonov and Serguei Mechkov – senior vice-presidents of the quantitative res

To continue reading...

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 indvidual account here: