论文标题
动态敏感性和通过Chebyshev张量的初始边缘
Dynamic sensitivities and Initial Margin via Chebyshev Tensors
论文作者
论文摘要
本文介绍了如何使用Chebyshev张量来计算蒙特卡洛模拟中金融工具的动态敏感性。然后使用动态敏感性来计算ISDA（SIMM）定义的动态初始边缘。该技术是根据使用定价函数（如风险发动机中发现的）获得的动态灵敏度的计算基准的。我们获得了FX掉期和传播选项的高精度和计算收益。
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 compute Dynamic Initial Margin as defined by ISDA (SIMM). The technique is benchmarked against the computation of dynamic sensitivities obtained by using pricing functions like the ones found in risk engines. We obtain high accuracy and computational gains for FX swaps and Spread Options.
