Perturbation methods in credit derivatives[electronic resource] :strategies for efficient risk management

  • 作者: Turfus, Colin.
  • 出版: Chichester, West Sussex, UK : John Wiley & Sons 2021.
  • 稽核項: 1 online resource (xvi, 233 p.) :ill.
  • 叢書名: Wiley finance series
  • 標題: Financial risk management. , Credit derivatives.
  • ISBN: 1119609623 , 9781119609629
  • ISBN: 9781119609612
  • 試查全文@TNUA:
  • 附註: Includes bibliographical references and index.
  • 摘要: "Perturbation methods are currently seeing a surge of popularity, with Pat Hagan and collaborators generalising and extending their SABR approach to European option pricing (See for example Wilmott magazine, Managing Vol Surfaces, P. Hagan et al, 23 January 2018) and their methods being extended by various groups worldwide to cover more exotic options. The power of Green's function approaches is also being rediscovered. At the same time the increasing regulatory burden of ever more stress testing of models and of hedging strategies for market risk and counterparty risk puts computational efficiency at a premium. Financial institutions' default strategy of throwing everything into a big Monte Carlo simulation is reaching its limits with a premium on intelligent strategies allowing a trade-off, with the cost of introducing bespoke algorithms or approximations into risk calculations being compensated by a reduced computational burden. Perturbation methods provide a simple but widely applicable methodology for obtaining tractable but accurate analytic approximations useful for pricing of credit-contingent financial products and for risk management purposes such as XVA and exposure calculations"--
  • 電子資源: https://dbs.tnua.edu.tw/login?url=https://onlinelibrary.wiley.com/doi/book/10.1002/9781119610168
  • 系統號: 005326022
  • 資料類型: 電子書
  • 讀者標籤: 需登入
  • 引用網址: 複製連結