In this short note we derive an exact simulation scheme for the joint distribution of (r(t),N(t)), where r denotes the short rate following a Hull-White model and $N$ denotes the numeraire.To sample the correct joint distribution of (r(t),N(t)) our scheme requires a two-factor Brownian driver....

In this paper we present an efficient implementation of automatic differentiations of random variables (see 'https://ssrn.com/abstract=2995695' https://ssrn.com/abstract=2995695).Using this implementation can increase the speed of the calculation of the automatic differentiation and reduce the...

This first part of this presentation gives an introduction to stochastic automatic differentiation and its application.The second part of the presentation introduces a simple "static hedge" approximation for an SIMM based MVA and compares it with an exact solution (where the exact solution was...

In this paper we discuss how to incorporate analytic boundary conditions into a Monte-Carlo simulation framework and discuss their applications. The method introduced can dramatically improve the stability, robustness and accuracy of the valuation, calculation of sensitivities and stress...

In this paper we introduce the displaced historical simulation model which is designed to handle negative and close-to-zero risk factors. This is an issue of recent and major interest to the financial sector, both from a regulatory and financial institutions perspective, especially in light of...