SSRN Author: Markus TraheMarkus Trahe SSRN Content
http://www.ssrn.com/author=2492341
http://www.ssrn.com/rss/en-usSun, 04 Dec 2016 10:14:22 GMTeditor@ssrn.com (Editor)Sun, 04 Dec 2016 10:14:22 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: A Multi Interest Rate Curve Model for Exposure ModellingThe tenor basis phenomenon became significant with the 2007 financial crisis and has altered the traditional way of one-curve pricing and risk management to a multi-curve phenomenon. The stochastic nature of basis spreads between curves particularly poses a challenge for forward looking applications like XVA or real world measure exposure analytics. This paper presents a Two- factor Gaussian approach for modelling multiple fixing curves and basis spreads in the risk neutral and spot measure, shows the impact on basis swap exposure, investigates the correlation structure and discusses the pros and cons of interpreting as a spread or multi curve model respectively.
http://www.ssrn.com/abstract=2870698
http://www.ssrn.com/1544590.htmlThu, 17 Nov 2016 20:15:27 GMTREVISION: Efficient Simulation of the Multi Asset Heston ModelThis paper describes a procedure for efficiently simulating a multi asset Heston model with an arbitrary correlation structure. Very little literature can be found on the topic (e.g. Wadman (2010) and Dimitroff et al. (2011)), the latter being very restrictive on correlation assumptions. The scheme proposed in this text is based on Andersen's Quadratic Exponential (QE) scheme (2008) and operates with an arbitrary input correlation structure, which is partially decorrelated via a Gaussian copula approach to fit the single asset QE prerequisites. Given a long term horizon, it is shown numerically that, in the multi asset QE (MQE) scheme, all combinations of terminal correlations converge quickly to the true terminal correlations for decreasing Monte Carlo time step size, if the input correlation matrix is interpreted as the system's instantaneous correlation matrix. Convergence of vanilla and spread option prices is investigated, in order to verify the appropriate behaviour for higher ...
http://www.ssrn.com/abstract=2729475
http://www.ssrn.com/1470399.htmlMon, 15 Feb 2016 16:03:03 GMTREVISION: Efficient Simulation of the Multi Asset Heston ModelThis paper describes a procedure for efficiently simulating a multi asset Heston model with an arbitrary correlation structure. Very little literature can be found on the topic (e.g. Wadman (2010) and Dimitro et al. (2011)), the latter being very restrictive on correlation assumptions. The scheme proposed in this text is based on Andersen's Quadratic Exponential (QE) scheme (2008) and operates with an arbitrary input correlation structure, which is partially decorrelated via a Gaussian copula approach to fit the single asset QE prerequisites. Given a long term horizon, it is shown numerically that, in the multi asset QE (MQE) scheme, all combinations of terminal correlations converge quickly to the true terminal correlations for decreasing Monte Carlo time step size, if the input correlation matrix is interpreted as the system's instantaneous correlation matrix. Convergence of vanilla and spread option prices is investigated, in order to verify the appropriate behaviour for higher ...
http://www.ssrn.com/abstract=2729475
http://www.ssrn.com/1469403.htmlThu, 11 Feb 2016 11:26:28 GMT