no code implementations • 10 May 2023 • Mariano Zeron, Meng Wu, Ignacio Ruiz
When the Orthogonal Chebyshev Sliding Technique was introduced it was applied to a portfolio of swaps and swaptions within the context of the FRTB-IMA capital calculation.
no code implementations • 14 Dec 2020 • Mariano Zeron, Ignacio Ruiz
Our tests indicate that when using Chebyshev Tensors, the calibration of the rough Bergomi volatility model is around 40, 000 times more efficient than if calibrated via brute-force (using the pricing function).
no code implementations • 9 Nov 2020 • Mariano Zeron, Ignacio Ruiz
This paper presents how to use Chebyshev Tensors to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation.
