A Framework for Waterfall Pricing Using Simulation-Based Uncertainty Modeling
We present a novel framework for pricing waterfall structures by simulating the uncertainty of the cashflow generated by the underlying assets in terms of value, time, and confidence levels. Our approach incorporates various probability distributions calibrated on the market price of the tranches at inception. The framework is fully implemented in PyTorch, leveraging its computational efficiency and automatic differentiation capabilities through Adjoint Algorithmic Differentiation (AAD). This enables efficient gradient computation for risk sensitivity analysis and optimization. The proposed methodology provides a flexible and scalable solution for pricing complex structured finance instruments under uncertainty
Code (0)
등록된 구현이 없습니다.
Tasks
Computational EfficiencySensitivitySimilar Papers 제목 키워드 기반
Waterfall Bandits: Learning to Sell Ads Online
A popular approach to selling online advertising is by a waterfall, where a publisher makes sequential price offers to ad networks for an inventory, and chooses the winner in that order. The publisher picks the order and…
Definitions and Semantic Simulations Based on Object-Oriented Analysis and Modeling
We have proposed going beyond traditional ontologies to use rich semantics implemented in programming languages for modeling. In this paper, we discuss the application of executable semantic models to two examples, first…
Search and Score-based Waterfall Auction Optimization
Online advertising is a major source of income for many online companies. One common approach is to sell online advertisements via waterfall auctions, through which a publisher makes sequential price offers to ad network…
Waterfall Transformer for Multi-person Pose Estimation
We propose the Waterfall Transformer architecture for Pose estimation (WTPose), a single-pass, end-to-end trainable framework designed for multi-person pose estimation. Our framework leverages a transformer-based waterfa…
Multi-Person Pose EstimationPose EstimationAccurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper propos…
Bayesian Inference