# Questions tagged [simulations]

Reproduction of the characteristics or the outcome of a phenomenon or process using math or programming. Here limited to events related with quantitative finance as defined in the help center.

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### Ornstein-Uhlnbeck Process with Jumps

I am trying to simulate an OU Process (Vasicek version) with jumps and I would like to derive the drift and diffusion term when jumps are incorporated, which will enable me to perform monte carlo ...
28 views

### Fitting a multidimensional Ornstein-Uhlenbeck pProcess

If I have a dataset X, where each row is a time point and we have several variables, say 100, (so this is a multivariate time series), what is the best way to fit a multidimensional Ornstein-Uhlenbeck ...
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33 views

### Distribution fitting to data with (isolated) extreme observations

Let's assume I have 2 time series of daily observations of a given experiment. The data of one time series show a very long tail (either side) and in absolute sense the difference between the lowest ...
46 views

### How to exactly sample two Cox-Ingersoll-Ross processes that share the same Brownian motion

Lets say that I have two CIR processes \begin{align} dX_t &= b_x(a_x - X_t)dt + s_x \sqrt{X_t}dB_t \newline dY_t &= b_y(a_y - Y_t)dt + s_y \sqrt{Y_t}dB_t \end{align} And I want to sample from ...
31 views

### Quantlib IndexManager

I am doing some research on how to leverage QuantLib for calculating XVAs in Python and I am now struggling to understand something. Basically, I would like to simulate n paths. Each one of the paths ...
1 vote
51 views

### Scaled VaR: approximation vs reality

Previous question: Understanding VaR rescaling After understanding the usual VaR scaling formula $$\text{VaR}_{T,\alpha}=\sqrt{T}\text{VaR}_{1,\alpha}$$ I wanted to know by how much it deviates from ...
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64 views

### Pricing a zero coupon callable bond

Suppose I have a 20-year zero bond with a call date in 10 years and a zero interest rate of 2%, which is currently valued at a Z-spread of 100. Now I would like to evaluate the right of termination ...
114 views

### Confusion About PFE Calculation and XVA Pricing Engine's Exclusive Reliance on Parameter Simulation

Potential Future Exposure (a credit risk metric) is calculated using $$PFE(\tau) = \text{max}\Big(0, \mathcal{P}_{derivative}(\tau) - CVA(\tau)\Big)$$, where $\mathcal{P}$ is the price / fair value / ...
87 views

### What are state-of-the-art methods for forecasting of rates and volatilities?

Usually forecasting is based on a model for the evolution of a value $x(t)$ based on some parameters ${\beta}$ that can then be estimated using various statistical means. For yield curves and ...
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1 vote
35 views

### Option Price keeps decreasing as the time-steps increase

I have been writing a code in Python, trying to find a European Benchmark of the Gatheral Double-Mean Reverting model (since there is no available benchmark values online), using the Euler scheme. For ...
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384 views

### Understanding the calibration of High-frequency trading in a limit order book

I am trying understand and replicate this thesis, which is based on, High-frequency trading in a limit order book by (Avellaneda and Stoikov, 2008) and Optimal market making, by Olivier Gueant, 2017, ...
183 views

### My Montecarlo Simulation is not working?

My aim is to predict 1 year ahead and daily, the price of a stock under certain scenario. These scenarios are the ones that this year the stock will have a similar year, in terms of standard deviation ...
• 101
1 vote