The authors put forward a publicly available computational template for machine learning, named mlOSP, which presents a unified numerical implementation of RMC approaches for optimal stopping.
Despite data challenges, bank is opting for IMA to enhance risk management
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
A data-driven approach to computing expectations for the pricing and hedging of exotics
This paper proposes two numerical solutions based on product optimal quantization for the pricing of Bermudan options on foreign exchange rates.
Pricing vanilla and exotic options with a deep learning approach for PDEs
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
In this work, the authors propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process.
An estimated $60 billion of structured notes are at risk of being called before year-end
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Quants propose faster technique for Simm-MVA based on algorithmic differentiation
StanChart quant proposes new technique to compute MVA quicker
Algorithmic differentiation are used to simulate sensitivities to calculate MVA
This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Research on AAD is not complete until it becomes easier to implement, says quant
Quants study ways to reduce noise in XVA Greeks calculations
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Rates options desks on alert as decline in Formosa bond issuance could hit profits and raise US volatility
Ignoring valuation adjustments could be storing up problems for the future
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
This paper presents a new numerical approach to solving high-dimensional partial differential equations that arise in the valuation of exotic derivative securities. The resulting numerical solutions are carefully compared in terms of accuracy and run…
Fast gammas for Bermudan swaptions