This note discusses a framework for handling objects of a given object oriented library through spreadsheet functions. We first describe the simple and natural representation of object references through strings (object handles). A small set of spreadsheet functions then allows object...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

We consider a generic framework for generating likelihood ratio weighted Monte Carlo simulation paths, where we use one simulation scheme K° (proxy scheme) to generate realizations and then reinterpret them as realizations of another scheme K* (target scheme) by adjusting measure (via...

For the numerical calculation of partial derivatives (aka.~sensitivites or greeks) from a Monte-Carlo simulation there are essentially two possible approaches: The pathwise method and the likelihood ratio method. Both methods have their shortcomings: While the pathwise method works very well for...

We consider a generic framework which allows to calculate robust Monte-Carlo sensitivities seamlessly through simple finite difference approximation. The method proposed is a generalization and improvement of the proxy simulation scheme method (Fries and Kampen, 2005). As a benchmark we apply...

We consider a general Itocirc; stochastic process dX(t) = micro;(t,X(t)) dt + sigma(t,X(t)) dW(t)We show that the increment X(ti+1)-X(ti+1) of k Euler discretization steps of size h/k is equivalent to the increment X(ti+1)-X(ti+1) of one Euler step of step size h of an SDE with diffusion matrix...

In this paper we present a generic method for the Monte-Carlo pricing of (generalized) auto-callable products (aka. trigger products), i.e., products for which the payout function features a discontinuity with a (possibly) stochastic location (the trigger) and value (the payout).The Monte-Carlo...