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 - Mar 13, 2023

Thinking Derivatively – March 2023 Newsletter

white paper

White paper | Six Themes that Characterize Trading in the Energy Markets Today

content collection

Derivative Insider Series Webinar

on-demand webinar

Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis

newsletter issue - Jan 17, 2023

Thinking Derivatively – January 2023 Newsletter

white paper

White paper | Using Emerging Technologies to Improve the Risk Management Function

newsletter issue - Dec 13, 2022

Thinking Derivatively – December 2022 Newsletter

on-demand webinar

Machine Learning for Market Data Anomaly Detection & Gap Filling

on-demand webinar

On-Demand Solution Webinar | Turbo-charging XVA Greek Calculations

newsletter issue - Nov 14, 2022

Thinking Derivatively – November 2022 Newsletter

on-demand webinar

NxCore Cloud in Action: Examples of Capital Market Apps & How They Were Built

on-demand webinar

Portfolio Management Using Advanced Market & Credit Simulations