2 citations · 3 across the 2 of their papers we have counts for
3 papers
q-fin.RM2021★ 1 cited
Efficient ISDA Initial Margin Calculations Using Least Squares Monte-Carlo
Asif Lakhany, Amber Zhang
Non-cleared bilateral OTC derivatives between two financial firms or systemically important non-financial entities are subject to regulations that require the posting of initial an…
q-fin.RM2021★ 2 cited
Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithm
Asif Lakhany, Andrej Pintar, Amber Zhang
Accurately fitting the term structure of interest rates is critical to central banks and other market participants. The Nelson-Siegel and Nelson-Siegel-Svensson models are probably…
q-fin.CP2021
Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations
Yuriy Krepkiy, Asif Lakhany, Amber Zhang
We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio. We assume that the po…