Martingale Resampling and Interpolation

Yi Tang and Bin Li
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Yi Tang: Goldman, Sachs & Co., Inc., USA
Bin Li: Westport Financial, LLC, USA

Chapter 4 in Quantitative Analysis, Derivatives Modeling, and Trading Strategies:In the Presence of Counterparty Credit Risk for the Fixed-Income Market, 2007, pp 153-211 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Martingale InterpolationBrownian Bridge InterpolationMoment Matching in One-factor CaseQuadratic ResamplingMoment Matching for All Odd Moments and KurtosisMoment Matching for Higher Order MomentsConditional Quadratic ResamplingMoment Matching in Multi-factor CaseMartingale ResamplingUnconditional Martingale Resampling at the State Variable LevelConditional Martingale Resampling at the State Variable LevelBrownian Bridge Resampling at the State Variable LevelMartingale Control Variate at the Underlying Instrument LevelMartingale Resampling at the Derivatives Price LevelApplication to Secondary Model CalibrationOther Applications of Martingale ResamplingModeling of Multiple IndicesJLT Risk Neutralization of Credit Rating Transition ProcessCalibration of Credit Spread ProcessesRisk Neutralization of Mortgage Prepayment ModelAccuracy and Precision TestsExamples of Numerical Results

Keywords: CVA; Credit Valuation Adjustment; Counterparty Credit; BGM Model; HJM Model; RS Model; Martingale; Derivatives Modeling; Martingale Resampling; Orthogonal Exponential Spline; Stat Arb; Nonexploding Bushy Tree; NBT; PRDC; TARN; Snowball; Snowbear; CCDS; Credit Extinguisher (search for similar items in EconPapers)
Date: 2007
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