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Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo

Guo, Ivan - 2016

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least...

Persistent link: https://www.econbiz.de/10012980091

Implementation of variance reduction techniques applied to the pricing of investment certificates

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42

Certificates are structured financial instruments that aim to provide investors with investment solutions tailored to their needs. Certificates can be modeled using a bond component and a derivative component, typically an options strategy. The pricing of certificates is typically performed...

Persistent link: https://www.econbiz.de/10014327175

Calibration and Backtesting of the Heston Model for Counterparty Credit Risk

de Innocentis, Marco - 2018

We describe a fast new method for the market implied calibration of the Heston (1993) model for equity, based on an improved version of the parabolic pricing algorithm of Levendorskii (2012). This pricing method, when used in the calibration, is much faster and more accurate, and better...

Persistent link: https://www.econbiz.de/10012936313

Estimation of agent-based models using sequential Monte Carlo methods

Lux, Thomas - 2017

Estimation of agent-based models is currently an intense area of research. Recent contributions have to a large extent … resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however … inference. Here we resort to Sequential Monte Carlo (SMC) estimation based on a particle filter. This approach is used here to …

Persistent link: https://www.econbiz.de/10011748807

Simulated ML estimation of financial agent-based models

Baruník, Jozef; Kukačka, Jiří - 2016

This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does … FABMs estimation purposes. To start with, we apply the methodology to the popular and widely analysed model of Brock and …

Persistent link: https://www.econbiz.de/10011448663

Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data

Mercuri, Lorenzo - 2015

Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate …

Persistent link: https://www.econbiz.de/10013038504

Real Time Counterparty Credit Risk Management in Monte Carlo

Capriotti, Luca - 2011

Adjoint algorithmic differentiation can be used to implement efficiently the calculation of counterparty credit risk. We demonstrate how this powerful technique can be used to reduce the computational cost by hundreds of times, thus opening the way to real time risk management in Monte Carlo

Persistent link: https://www.econbiz.de/10013125964

Calibration of Credit Spread Scenarios for Monte Carlo Simulations

Dubrana, Ludovic - 2012

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

Persistent link: https://www.econbiz.de/10013105185

Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

Persistent link: https://www.econbiz.de/10011890804

Simulation for the estimation of the survival probabilities of enterprises and banks within a prolonged duration of the debt crisis

Kyritsis, Costas; Hytis, Evangelos - 2013

In the current paper, we study the stability and the survival probabilities of enterprises and banks within a prolonged duration of the debt-crisis, with Monte Carlo simulation. We utilize historical data from banks and enterprises within the debt-crisis to define crisis-variability and...

Persistent link: https://www.econbiz.de/10011410155

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