Zobrazeno 1 - 10
of 134
pro vyhledávání: '"Grzelak, Lech"'
Autor:
Zaugg, Nicola F., Grzelak, Lech A.
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of the multiv
Externí odkaz:
http://arxiv.org/abs/2407.02901
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for different beh
Externí odkaz:
http://arxiv.org/abs/2401.09955
Publikováno v:
Chapter in Mathematics: Key Enabling Technology for Scientific Machine Learning by NDNS+, 2021 Cluster
Monte Carlo simulation is widely used to numerically solve stochastic differential equations. Although the method is flexible and easy to implement, it may be slow to converge. Moreover, an inaccurate solution will result when using large time steps.
Externí odkaz:
http://arxiv.org/abs/2302.05170
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense. Sensitivity calculations which require shocked and unshocked valuations
Externí odkaz:
http://arxiv.org/abs/2211.17026
Autor:
Grzelak, Lech A.
We focus on extending existing short-rate models, enabling control of the generated implied volatility while preserving analyticity. We achieve this goal by applying the Randomized Affine Diffusion (RAnD) method to the class of short-rate processes u
Externí odkaz:
http://arxiv.org/abs/2211.05014
Autor:
Perotti, Leonardo, Grzelak, Lech A.
We propose a new, data-driven approach for efficient pricing of - fixed- and float-strike - discrete arithmetic Asian and Lookback options when the underlying process is driven by the Heston model dynamics. The method proposed in this article constit
Externí odkaz:
http://arxiv.org/abs/2211.03638
Autor:
Grzelak, Lech A.
The class of Affine (Jump) Diffusion (AD) has, due to its closed form characteristic function (ChF), gained tremendous popularity among practitioners and researchers. However, there is clear evidence that a linearity constraint is insufficient for pr
Externí odkaz:
http://arxiv.org/abs/2208.12518
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis spreads, this optionality significantly impacts asset valuation. Beca
Externí odkaz:
http://arxiv.org/abs/2207.10373
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consistency between options on indivi
Externí odkaz:
http://arxiv.org/abs/2206.09877
Autor:
Perotti, Leonardo, Grzelak, Lech A.
We propose a methodology to sample from time-integrated stochastic bridges, namely random variables defined as $\int_{t_1}^{t_2} f(Y(t))dt$ conditioned on $Y(t_1)\!=\!a$ and $Y(t_2)\!=\!b$, with $a,b\in R$. The Stochastic Collocation Monte Carlo samp
Externí odkaz:
http://arxiv.org/abs/2111.13901