1 citations · 1 across the 2 of their papers we have counts for
6 papers
Tensoring volatility calibration
Mariano Zeron, Ignacio Ruiz
Inspired by a series of remarkable papers in recent years that use Deep Neural Nets to substantially speed up the calibration of pricing models, we investigate the use of Chebyshev…
Dynamic sensitivities and Initial Margin via Chebyshev Tensors
Mariano Zeron, Ignacio Ruiz
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 c…
Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique
Mariano Zeron-Medina Laris, Ignacio Ruiz
In this paper we introduce a new technique based on high-dimensional Chebyshev Tensors that we call \emph{Orthogonal Chebyshev Sliding Technique}. We implemented this technique ins…
An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk
Lucia Cipolina-Kun, Ignacio Ruiz, Mariano Zero-Medina Laris
The use of CVA to cover credit risk is widely spread, but has its limitations. Namely, dealers face the problem of the illiquidity of instruments used for hedging it, hence forced…
Dynamic Initial Margin via Chebyshev Tensors
Ignacio Ruiz, Mariano Zeron
We present two methods, based on Chebyshev tensors, to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. These methods are implemented and run…
Chebyshev Methods for Ultra-efficient Risk Calculations
Mariano Zeron Medina Laris, Ignacio Ruiz
Financial institutions now face the important challenge of having to do multiple portfolio revaluations for their risk computation. The list is almost endless: from XVAs to FRTB, s…