Banks welcome flexibility, but it could lead to big divergence on climate risk management
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.
The authors put forward a novel control variate method for time-changed Lévy models and demonstrate an efficient reduction of the variance of Monte Carlo in numerical experiments.
A new model that jointly fits the smiles of VIX and SPX is presented
Bank of America quants propose comprehensive framework for modelling rate derivatives
Risk Awards 2023: Doctoral dissertation outlines more efficient way to simulate rough volatility models
The authors offer a VIX pricing algorithm for stochastic Volterra rough volatility models where the volatility is dependent of the vol-of-vol which reproduces key features of real-world data.
But supervisors cautiously welcome next-gen model risk management
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
The authors compare JLSMC DIM estimates with those produced by two other methods, finding that the JLSMC algorithm is accurate and efficient, producing results comparable with nested Monte Carlo with an order of magnitude less computational effort.
The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.
A multivariate model for hybrid wind–photovoltaic power production with energy portfolio optimization
The authors model the power production and income of a wind-photovoltaic energy plant to determine the portfolio that maximises profitability as well as the optimal choice between wind and photovoltaic plants.
Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses: a Monte Carlo investigation
The authors provide a quantitative comparison for evaluating the impact of collecting margins in a gross-versus-net system with the margin period of risk (MPOR) set to between one and five days.
Using Monte Carlo model extension for forward IM calculation avoids excessive outputs for MVA
The authors apply multilevel Monte Carlo simulation to the problems inherent in computing risk measures of a financial portfolio with large numbers of derivatives.
This paper analyzes the realized exit cashflows of individual portfolio companies in a joint modeling framework that describes both the exit timing and the exit performance.
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework originally proposed by Heath and Platen.
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
This paper discusses several methods to estimate fVaR or margin requirements and their expected time evolution, from simple options to more complex interest swaps.
This paper extends the branching diffusion Monte Carlo method of Henry-Labordère et al to the case of parabolic partial differential equations with mixed local–nonlocal analytic nonlinearities.