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q-fin.RM2022
Accelerated Computations of Sensitivities for xVA
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense. S…
q-fin.RM2022
Sensitivities and Hedging of the Collateral Choice Option
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis…
q-fin.RM2021
Cheapest-to-Deliver Collateral: A Common Factor Approach
Felix L. Wolf, Lech A. Grzelak, Griselda Deelstra
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Qua…