170 citations · 200 across the 17 of their papers we have counts for
4 papers · 1 filter
Speed-up credit exposure calculations for pricing and risk management
Kathrin Glau, Ricardo Pachon, Christian Pötz
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential…
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
Damir Filipović, Kathrin Glau, Yuji Nakatsukasa +1
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This n…
Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation
Kathrin Glau, Ricardo Pachon, Christian Pötz
We introduce a new method to calculate the credit exposure of Bermudan, discretely monitored barrier and European options. Core of the approach is the application of the dynamic Ch…
Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
Kathrin Glau, Daniel Kressner, Francesco Statti
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibra…