Perturbation methods in credit derivatives [electronic resource] : strategies for efficient risk management / Colin Turfus.
- 作者： Turfus, Colin.
- 其他題名：
- Wiley finance series.
- 出版： Chichester, West Sussex, UK : John Wiley & Sons 2021.
- 叢書名： Wiley finance series
- 主題： Credit derivatives. , Financial risk management.
- ISBN： 9781119610168 (electronic bk.) 、 1119610168 (electronic bk.) 、 9781119609599 (electronic bk.) 、 1119609593 (electronic bk.) 、 9781119609629 (electronic bk.) 、 1119609623 (electronic bk.)
- URL：
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- 一般註：Includes bibliographical references and index. 111年度臺灣學術電子書暨資料庫聯盟採購
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讀者標籤：
- 系統號： 000296913 | 機讀編目格式
館藏資訊
摘要註
"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"--
