Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Mariano Zeron-Medina Laris"'
Publikováno v:
Wilmott. 2021:74-93
In this paper we introduce a new technique based on high-dimensional Chebyshev Tensors that we call \emph{Orthogonal Chebyshev Sliding Technique}. We implemented this technique inside the systems of a tier-one bank, and used it to approximate Front O
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::818cb3770a860647706420c9a8939f9d
https://doi.org/10.1002/wilm.10907
https://doi.org/10.1002/wilm.10907
Inspired by a series of remarkable papers in recent years that use Deep Neural Nets to substantially speed up the calibration of pricing models, we investigate the use of Chebyshev Tensors instead of Deep Neural Nets. Given that Chebyshev Tensors can
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6d23de0ad9c5a9c832d062cc4a3233e2
This paper presents how to 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 (SIMM). The technique
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e8b9b13a6631ea85e72d051d7c4147ab
In this paper we introduce a new technique based on high-dimensional Chebyshev Tensors that we call \emph{Orthogonal Chebyshev Sliding Technique}. We implemented this technique inside the systems of a tier-one bank, and used it to approximate Front O
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f231af11bae60a8673bc0c7753854bd
The use of CVA to cover credit risk is widely spread, but has its limitations. Namely, dealers face the problem of the illiquidity of instruments used for hedging it, hence forced to warehouse credit risk. As a result, dealers tend to offer a limited
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14bd507801c9c41becfa6cbe28575b4d
http://arxiv.org/abs/1812.09407
http://arxiv.org/abs/1812.09407
Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, stress testing programs, etc. These computations require from several h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a4d225c86f4fbba6b39434a825260fa
http://arxiv.org/abs/1805.00898
http://arxiv.org/abs/1805.00898
Publikováno v:
SSRN Electronic Journal.
We present two methods, based on Chebyshev tensors, to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. These methods are implemented and run in a Monte Carlo engine to compute Dynamic Initial Margin as defined
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::634e16f74465eeb5f97db31d17c2d595
https://doi.org/10.2139/ssrn.3238238
https://doi.org/10.2139/ssrn.3238238
Publikováno v:
Trends in Mathematics ISBN: 9783319054872
Definition 2. Let G be a group and H;K subgroups of G. We define the coset intersection graph G H;K to be a graph with vertex set consisting of all left cosets of H .fliH gi2I / together with all right cosets of K .fKrj gj2J /, where I , J are index
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::adc4d2e506e4c496b09404ea342dba8a
https://doi.org/10.1007/978-3-319-05488-9_5
https://doi.org/10.1007/978-3-319-05488-9_5
We explore transversals of finite index subgroups of finitely generated groups. We show that when $H$ is a subgroup of a rank $n$ group $G$ and $H$ has index at least $n$ in $G$ then we can construct a left transversal for $H$ which contains a genera
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d8767b652b64a9536e95fd6421edf18f
Publikováno v:
Amer. Math. Monthly
Let H, K be subgroups of G. We investigate the intersection properties of left and right cosets of these subgroups.
Comment: 4 pages
Comment: 4 pages
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a0f6bd2ec93e085592e26ac791c3682c