Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Year of publication: |
September 2016
|
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Authors: | Feng, Qian ; Jain, Shashi ; Karlsson, Patrik ; Kandhai, Drona ; Oosterlee, Cornelis Willebrordus |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 1, p. 139-172
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Subject: | credit valuation adjustment (CVA) | credit exposure | potential future exposure (PFE) | Bermudan swaption | risk-neutral measure | real-world measure | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Swap | Derivat | Derivative | Messung | Measurement |
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