Dynamic sensitivities and Initial Margin via Chebyshev Tensors
Risk Management
2020-11-10 v1
Abstract
This paper presents how to use Chebyshev Tensors to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. Dynamic sensitivities are then used to compute Dynamic Initial Margin as defined by ISDA (SIMM). The technique is benchmarked against the computation of dynamic sensitivities obtained by using pricing functions like the ones found in risk engines. We obtain high accuracy and computational gains for FX swaps and Spread Options.
Keywords
Cite
@article{arxiv.2011.04544,
title = {Dynamic sensitivities and Initial Margin via Chebyshev Tensors},
author = {Mariano Zeron and Ignacio Ruiz},
journal= {arXiv preprint arXiv:2011.04544},
year = {2020}
}
Comments
21 pages, 8 figures