{"title":"基于经验鞅模拟的XVA估计","authors":"Stefano Renzitti, P. Bastani, Steven Sivorot","doi":"10.2139/ssrn.3948228","DOIUrl":null,"url":null,"abstract":"We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"XVA Estimates with Empirical Martingale Simulation\",\"authors\":\"Stefano Renzitti, P. Bastani, Steven Sivorot\",\"doi\":\"10.2139/ssrn.3948228\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations\",\"PeriodicalId\":251522,\"journal\":{\"name\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"volume\":\"23 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-10-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3948228\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk Management & Analysis in Financial Institutions eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3948228","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
XVA Estimates with Empirical Martingale Simulation
We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations