英文标题：
《Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and
Barrier Options under the Heston Hull-White Model》
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作者：
Q. Feng, C.W. Oosterlee
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最新提交年份：
2014
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英文摘要：
Valuation of Credit Valuation Adjustment (CVA) has become an important field as its calculation is required in Basel III, issued in 2010, in the wake of the credit crisis. Exposure, which is defined as the potential future loss of a default event without any recovery, is one of the key elementsfor pricing CVA. This paper provides a backward dynamics framework for assessing exposure profiles of European, Bermudan and barrier options under the Heston and Heston Hull-White asset dynamics. We discuss the potential of an efficient and adaptive Monte Carlo approach, the Stochastic Grid Bundling Method}(SGBM), which employs the techniques of simulation, regression and bundling. Greeks of the exposure profiles can be calculated in the same backward iteration with little extra effort. Assuming independence between default event and exposure profiles, we give examples of calculating exposure, CVA and Greeks for Bermudan and barrier options.
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中文摘要：
信贷估值调整（CVA）的估值已成为一个重要领域，因为2010年发布的《巴塞尔协议III》在信贷危机后要求对其进行计算。风险敞口是CVA定价的关键要素之一，它被定义为违约事件的潜在未来损失而不进行任何恢复。本文提供了一个反向动力学框架，用于评估赫斯顿和赫斯顿赫尔白色资产动力学下欧洲、百慕大和屏障期权的风险敞口概况。我们讨论了一种有效且自适应的蒙特卡罗方法，即随机网格捆绑方法（SGBM），它采用了模拟、回归和捆绑技术。在相同的反向迭代中，几乎不需要额外的努力就可以计算出曝光曲线的长度。假设违约事件和风险敞口之间独立，我们给出了计算百慕大和屏障期权的风险敞口、CVA和希腊的例子。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Numerical Analysis 数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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