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Implementation

  • Giovanni CesariEmail author
  • John Aquilina
  • Niels Charpillon
  • Zlatko Filipović
  • Gordon Lee
  • Ion Manda
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

The previous chapter introduced a computational framework within which complicated payoffs can be specified and then simulated to obtain the price distributions required for credit exposure estimation. Trade specification is based on quantities we called statistics, which can be thought of as functions that return some financial quantity, given a simulated scenario. We will use these statistics later in Part III to specify various products.

This chapter is dedicated to a more detailed analysis of various statistics. We describe their implementation, the practical issues that arise, and the solutions we adopted. Since simulation is at the heart of our framework, we describe also various Monte Carlo schemes for simulating SDEs. We end the chapter by analysing the different types of errors introduced in the various steps of the modelling.

Keywords

Euler Scheme Bond Price Asset Class Asian Option Credit Derivative 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Giovanni Cesari
    • 1
    Email author
  • John Aquilina
    • 1
  • Niels Charpillon
    • 1
  • Zlatko Filipović
    • 1
  • Gordon Lee
    • 1
  • Ion Manda
    • 1
  1. 1.UBS AGLondonUK

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