[ugrads] Math Finance, Stochastic Analysis, and Machine Learning Seminar: September 18

Ruoting Gong rgong2 at iit.edu
Sat Sep 15 14:18:00 CDT 2018

Dear all,

Please join us for our next Math Finance, Stochastic Analysis and Machine
Learning Seminar on September 18:

*Time:* Tuesday, September 18, 11:25 AM - 12:40 PM
*Location:* RE 121
*Speaker:* Matthew Dixon, Department of Applied Math, Illinois Tech
*Title:* Gaussian Process Regression for XVA Estimation

Modeling counterparty risk is computationally challenging because it
requires the simultaneous evaluation of all the trades with each
counterparty under both market and credit simulation. In particular, CVA
estimation requires pricing each counterparty portfolio as an option on the
portfolio under simulated market and credit spread moves. Moreover, Greeks
are required for hedging CVA and 10 day CVA VaR is required under Basel
III, necessitating layers of nested MC simulations.

Following Spiegeleer et al.'s approach to Gaussian Process Regression for
derivative pricing, this talk develops a kernel learning approach for
estimating CVA, including CVA greeks and VaR. Numerical experiments
demonstrate the accuracy of this approach and viability for real-time CVA

Best Regards

Ruoting Gong
Assistant Professor
Department of Applied Mathematics, Illinois Institute of Technology
rgong2 at iit.edu
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