Presented at QuantMinds International | May 2018

This presentation entitled “AD-on-LSMC for MVA and CVA Greeks: Simplifications and Efficiencies ” was given by Andrew McClelland of Numerix at QuantMinds International in Lisbon on May 17th.

The presentation addressed:

  • Pathwise methods for CVA Greeks and future value Greeks for MVA both require differentiation of continuation values over model parameters
  • When using LSMC, algorithmic differentiation can be applied in reverse mode (CVA) and forward mode (MVA) for efficiency
  • Careful inspection of the regression algorithm reveals specific dependencies, namely those of coefficients on contemporaneous states, which vanish as the sample size grows large
  • Ignoring these dependencies dramatically simplifies propagation and yields significant reductions in the computational expense with minimal impact on accuracy
  • A set of illustrative examples involving Bermudan swaptions

 

Numerix Presenter Bio:

Liang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management at NumerixAndrew McClelland, Ph.D., Director, Quantitative Research, Numerix
Andrew McClelland's work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Dr.McClelland received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Complete the form to the right to download this slide deck from Andrew McClelland's May 2018 QuantMinds International presentation.

Download Slides

Complete the form below to download this slide deck from Andrew McClelland's May 2018 QuantMinds presentation.

Select Form: 

Form #4: Conference Presentation

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

* Required fields
newsletter issue - Jan 14, 2019

Thinking Derivatively - January 2019 Issue

written blog

Trends in Fixed Income Dealing for 2019

news - article pdf - Jan 2, 2019

The Technology Headlines August 2018 | Numerix

news - article pdf - Dec 20, 2018

2019 Chartis RiskTech 100 | Numerix

journal issue

Numerix Journal Vol. 5, No. 2

newsletter issue - Dec 5, 2018

Thinking Derivatively - December 2018 Issue

on-demand webinar

MVA: How to Forecast Initial Margin w/ Andy McClelland

press release - Dec 3, 2018

Numerix Oneview Named Best Trading System for Structured Products/Cross-Asset in the Risk.net...

video blog

Numerix CEO Talks Fintech Future | 2019 RiskTech100® Awards

white paper

The Current State of XVA Adoption

on-demand webinar

On-Demand Webinar | Risk.net and Numerix: Exploring MVA & Initial Margin

conference presentation

Margin Valuation Adjustment: Initial Margin for Client Trades & Dynamic Hedges