Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee
| Year of publication: |
September 2016
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|---|---|
| Authors: | Karlsson, Patrik ; Jain, Shashi ; Oosterlee, Cornelis Willebrordus |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 3/4, p. 175-196
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| Subject: | Bermudan Swaptions | credit value adjustment (CVA) | Monte Carlo Simulation | stochastic grid bundling method (SGBM) | XVA | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Kreditrisiko | Credit risk | Swap | Leistungsbündel | Bundling strategy | Simulation | Computernetz | Computer network |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2016.1226144 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704227