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q-fin.CP2022★ 1 cited
A semi-static replication approach to efficient hedging and pricing of callable IR derivatives
Jori Hoencamp, Shashi Jain, Drona Kandhai
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replicat…
q-fin.CP2016
Efficient exposure computation by risk factor decomposition
Cornelis S. L. de Graaf, Drona Kandhai, Christoph Reisinger
The focus of this paper is the efficient computation of counterparty credit risk exposure on portfolio level. Here, the large number of risk factors rules out traditional PDE-based…