1 citations · 2 across the 4 of their papers we have counts for
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The FRTB-IMA computational challenge for Equity Autocallables
Mariano Zeron, Meng Wu, Ignacio Ruiz
When the Orthogonal Chebyshev Sliding Technique was introduced it was applied to a portfolio of swaps and swaptions within the context of the FRTB-IMA capital calculation. The comp…
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…
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…