The xVA Challenge

Gregory, Jon

doi:10.1002/9781119508991

Cited by 21 publications

(5 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In this case, the proposed methodology could be useful, because of its excellent speed, accuracy, and robustness. Another example is the computation of valuation adjustments (xVA) for over-the-counter financial derivatives (Feng et al, 2016;Graaf et al, 2014;Gregory, 2012Gregory, , 2015Karlsson et al, 2016). Preliminary results indicate that the hybrid MC and PDE computational approach combined with Shannon wavelets result in efficient computation of exposure profiles for counter-party credit risk in the context of the early exercise features.…”

Section: Discussionmentioning

confidence: 99%

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

Berthe

Dang

Ortiz-Gracia

2019

Applied Numerical Mathematics

View full text Add to dashboard Cite

We present a robust and highly efficient Shannon wavelet pricing method for plain-vanilla foreign exchange European options under the jump-extended Heston model with multi-factor CIR interest rate dynamics. Under a Monte Carlo and partial differential equation hybrid computational framework, the option price can be expressed as an expectation, conditional on the variance factor, of a convolution product that involves the densities of the time-integrated domestic and foreign multi-factor CIR interest rate processes. We propose an efficient treatment to this convolution product that effectively results in a significant dimension reduction, from two multi-factor interest rate processes to only a single-factor process. By means of a state-of-the-art Shannon wavelet inverse Fourier technique, the resulting convolution product is approximated analytically and the conditional expectation can be computed very efficiently. We develop sharp approximation error bounds for the option price and hedging parameters. Numerical experiments confirm the robustness and efficiency of the method.

show abstract

Section: Discussionmentioning

confidence: 99%

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

Berthe

Dang

Ortiz-Gracia

2019

Applied Numerical Mathematics

View full text Add to dashboard Cite

show abstract

“…Furthermore, shallow coastal waters are highly energetic environments where oceanographic factors such as waves, currents, and sediment transport form a dynamic environmental setting. Changes in the coastal environmental conditions can generate successive burial and exposure of UCH sites [1], affecting the stability and degradation of UCH sites [2,3]. Additionally, coastal erosion and sediment transport can remove layers of sediments that act as protective covers for certain archaeological objects [2].…”

Section: Introductionmentioning

confidence: 99%

“…Additionally, coastal erosion and sediment transport can remove layers of sediments that act as protective covers for certain archaeological objects [2]. Therefore, the degradation of UCH sites [3,4] may be aggravated in shallow water areas. At the UCH sites located in coastal waters, the degradation rates may experience episodic oscillations associated with changes in the environmental conditions in the area [5].…”

Section: Introductionmentioning

confidence: 99%

Preliminary assessment of wave energy hazards in a shallow underwater water cultural heritage site

Alexandrakis,

Petrakis,

Kampanis

2023

Proceedings of the 2022 IMEKO TC4 International Conference on Metrology for Archaeology and Cultural Heritage

View full text Add to dashboard Cite

Coastal areas are characterized by high energetic conditions associated with the wave transformation processes and by numerous underwater cultural heritage (UCH) sites whose preservation is crucial given their cultural and economic value. Wave energy is considered a significant hazard driver for the conservation of UCH sites in wave-exposed coasts and may cause the scattering and scouring of archaeological objects, which results in the loss and degradation of the sites. In this paper, the wave energy-induced threats of a coastal site that was revealed due to coastal erosion in the mid-1970s and now is completely submerged in shallow waters, is examined. The results showed that wave energy is a significant threat due to the scouring and weathering phenomena that can detach materials from the structure.

show abstract

“…An advanced BSDE-based treatment is presented by Crépey et al (2014), while detailed analyses of how to construct large hybrid models for counterparty risk simulations are provided in Green (2015), Lichters et al (2015) and Sokol (2014). Finally, Gregory (2015) provides an accessible introduction to wide-ranging aspects of the topic. A common fundamental feature of such generalized risk management frameworks is the necessity to adopt a portfolio-wide point of view in order to properly account for risk mitigation benefits arising from diversified positions.…”

Section: Introductionmentioning

confidence: 99%

Deep xVA solver -- A neural network based counterparty credit risk management framework

Gnoatto¹,

Picarelli²,

Reisinger³

2020

Preprint

View full text Add to dashboard Cite

In this paper, we present a novel computational framework for portfolio-wide risk management problems where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective. The new method utilises a coupled system of BSDEs for the valuation adjustments (xVA) and solves these by a recursive application of a neural network based BSDE solver. This not only makes the computation of xVA for high-dimensional problems feasible, but also produces hedge ratios and dynamic risk measures for xVA, and allows simulations of the collateral account.

show abstract

The xVA Challenge

Cited by 21 publications

References 0 publications

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

Preliminary assessment of wave energy hazards in a shallow underwater water cultural heritage site

Deep xVA solver -- A neural network based counterparty credit risk management framework

Contact Info

Product

Resources

About