Computational Framework

Giovanni Cesari (), John Aquilina (), Niels Charpillon (), Zlatko Filipović (), Gordon Lee () and Ion Manda ()
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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 5 in Modelling, Pricing, and Hedging Counterparty Credit Exposure, 2009, pp 101-109 from Springer

Abstract: Abstract Our goal is now to show how this mathematical framework can be naturally translated into a computational framework that will enable the computation of exposure in a systematic way for all types of products across the asset classes we provided models for. The basic ideas we highlight in this chapter will lead to the description of a basic software architecture, which can be used to address typical integration problems that large financial institutions face. The motivation for many of the challenges we consider in this and the following chapters, as well as many of the choices we take, will become clearer in Part IV, where the computation, controlling, and hedging of exposure, will be done at counterparty and not just at trade level.

Keywords: Stock Price; Computational Framework; Asset Class; Expression Tree; Price Distribution (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-04454-0_5

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DOI: 10.1007/978-3-642-04454-0_5

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