IDEAS home Printed from https://ideas.repec.org/h/spr/sprfcp/978-3-642-04454-0_3.html
   My bibliography  Save this book chapter

Simulation Models

Author

Listed:
  • Giovanni Cesari

    (UBS AG)

  • John Aquilina

    (UBS AG)

  • Niels Charpillon

    (UBS AG)

  • Zlatko Filipović

    (UBS AG)

  • Gordon Lee

    (UBS AG)

  • Ion Manda

    (UBS AG)

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.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-642-04454-0_3
DOI: 10.1007/978-3-642-04454-0_3
as

Download full text from publisher

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a
for a similarly titled item that would be available.

More about this item

Keywords

;
;
;
;
;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprfcp:978-3-642-04454-0_3. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.