Simulation Models

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
Additional contact information
Giovanni Cesari: UBS AG
John Aquilina: UBS AG
Niels Charpillon: UBS AG
Zlatko Filipović: UBS AG
Gordon Lee: UBS AG
Ion Manda: UBS AG

Chapter Chapter 3 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 45-77 from Springer

Abstract: Abstract In Chap. 2 we defined a general framework to enable estimation of counterparty exposure for different product classes. Throughout, we highlighted the importance of being able to simulate price processes of different asset classes simultaneously and in consistent fashion. This was accomplished by simulating a martingale process for each asset class. By doing so, the models fit time-zero forward curves by construction, so that calibration involves only choosing the volatility structure for the martingale pertaining to each asset class. In this chapter we focus on specific choices of models for different asset classes, discussing how they can be implemented and calibrated within our framework.

Keywords: Option Price; Implied Volatility; Credit Spread; Stochastic Volatility Model; Asset Class (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_3

Ordering information: This item can be ordered from
http://www.springer.com/9783642044540

DOI: 10.1007/978-3-642-04454-0_3

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().