scholarly journals Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

2016 ◽  
Author(s):  
Qian Feng ◽  
Shashi Jain ◽  
Patrik Karlsson ◽  
Cornelis W. Oosterlee
Keyword(s):  
Real World ◽  
Efficient Computation ◽  
Risk Neutral ◽  
Bermudan Swaptions

scholarly journals Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions

2016 ◽  
Vol 20 (1) ◽  
pp. 139-172 ◽  
Author(s):  
Qian Feng ◽  
Shashi Jain ◽  
Patrik Karlsson ◽  
Drona Kandhai ◽  
Cornelis Oosterlee
Keyword(s):  
Real World ◽  
Efficient Computation ◽  
Risk Neutral ◽  
Bermudan Swaptions

scholarly journals A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS

2020 ◽  
Vol 23 (03) ◽  
pp. 2050020
Author(s):  
DAVID CRIENS
Keyword(s):  
Brownian Motion ◽  
Real World ◽  
Random Measure ◽  
Jump Condition ◽  
Poisson Random Measure ◽  
Change Of Measure ◽  
The Real ◽  
Infinite Dimensional ◽  
Risk Neutral ◽  
Equivalent Change Of Measure

We show that for time-inhomogeneous Markovian Heath–Jarrow–Morton models driven by an infinite-dimensional Brownian motion and a Poisson random measure an equivalent change of measure exists whenever the real-world and the risk-neutral dynamics can be defined uniquely and are related via a drift and a jump condition.

Closed-form Transformations from Risk-neutral to Real-world Distributions

2004 ◽  
Author(s):  
Xiaoquan Liu ◽  
Mark B. Shackleton ◽  
Stephen J. Taylor ◽  
Xinzhong Xinzhong Xu
Keyword(s):  
Closed Form ◽  
Real World ◽  
Risk Neutral

A class of complete benchmark models with intensity-based jumps

2004 ◽  
Vol 41 (1) ◽  
pp. 19-34 ◽  
Author(s):  
Eckhard Platen
Keyword(s):  
Probability Measure ◽  
Financial Market ◽  
Real World ◽  
Present Value ◽  
Market Models ◽  
Growth Optimal Portfolio ◽  
Conditional Expectations ◽  
Risk Neutral ◽  
Security Price ◽  
Value Pricing

This paper proposes a class of complete financial market models, the benchmark models, with security price processes that exhibit intensity-based jumps. The benchmark or reference unit is chosen to be the growth-optimal portfolio. Primary security account prices, when expressed in units of the benchmark, turn out to be local martingales. In the proposed framework an equivalent risk-neutral measure need not exist. Benchmarked fair derivative prices are obtained as conditional expectations of future benchmarked prices under the real-world probability measure. This concept of fair pricing generalizes the classical risk-neutral approach and the actuarial present-value pricing methodology.

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