Download this Complimentary Research Paper, as Published in Risk Magazine

A Risk Collateral Management Cutting Edge feature, by Alexandre Antonov and Vladimir Piterbarg

Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. This choice leads to optionality that needs to be accounted for when valuing even the most basic of derivatives, such as forwards or swaps.
 
Numerical efficiency for valuing this optionality is key and first-order approximations have been proposed previously. In this paper, for the case of two currencies, Drs. Alexandre Antonov andVladimir Piterbarg propose more accurate schemes that are still very efficient.

About the Authors:

Dr. Alexandre Antonov received his Ph.D. degree from the Landau Institute for Theoretical Physics in 1997 and joined Numerix in 1998, where he currently works as a Senior Vice President of Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA.

Dr. Vladimir Piterbarg is a Managing Director and the Head of Quantitative Analytics at Barclays Capital in London. Before joining Barclays Capital in March 2005, he was a co-head of quantitative research for Bank of America, where he had worked for 8 years. Vladimir Piterbarg’s main areas of expertise are the modeling of exotic interest rate and hybrid derivatives. Dr. Piterbarg holds a Ph.D. in Mathematics (Stochastic Calculus) from University of Southern California.

Download Numerix Research Paper

Complete the form below to download this complimentary research paper.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
live webinar - Aug 18, 2020

Webinar 8/18 | LIBOR Transition in Asia-Pacific: How to Stay Ahead of the Curve

written blog

The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR...

newsletter issue - Jul 14, 2020

Thinking Derivatively – July 2020 Newsletter

product

Oneview for the LIBOR Transition - Accelerate Your Firm’s LIBOR Transition Using Artificial...

on-demand webinar

The LIBOR Transition: A Risk Management Stress Event

analyst report

Structured notes : Transforming risk into opportunities | Risk.net June 2020

newsletter issue - Jun 10, 2020

Thinking Derivatively – June 2020 Newsletter

conference

Libor Virtual Week 2020

white paper

White paper | The LIBOR Countdown: Focusing on Derivatives and the Impact of COVID-19

on-demand webinar

Preparándonos para un mundo sin la tasa Libor

newsletter issue - May 13, 2020

Thinking Derivatively – May 2020 Newsletter

on-demand webinar

The Benefits of Python with Numerix CrossAsset: Migrating Excel Use Cases to Python