A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM

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A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

Published:2024-02-26 Issue:3-4 Volume:24 Page:409-432
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Hoencamp J. H.¹²,Jain S.³,Kandhai B. D.¹²

Affiliation:

1. Computational Science Lab, University of Amsterdam, Science Park 904, Amsterdam 1098XH, Netherlands

2. Quantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102 BD, Netherlands

3. Department of Management Studies, Indian Institute of Science, Bangalore, India

Funder

NWO

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2312523

Reference46 articles.

1. Andersen, L.B.G. and Piterbarg, V.V., Interest Rate Modeling, Volume II: Term Structure Models, 2010 (Atlantic Financial Press: London, UK).

2. A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

3. Antonov A. Issakov S. and McClelland A. Efficient SIMM-MVA calculations for callable exotics. Available at SSRN 3040061 2017.

4. Bank for International Settlements Counterparty credit risk definitions and terminology 2019.

5. Funding strategies, funding costs;Burgard C.;Risk,2013

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