Speed-up credit exposure calculations for pricing and risk management
Kathrin Glau, Ricardo Pachon and Christian Pötz
| Year of publication: |
2021
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|---|---|
| Authors: | Glau, Kathrin ; Pachón, Ricardo ; Pötz, Christian |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 3, p. 481-499
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| Subject: | Bermudan swaption | Credit exposure | Full re-evaluation | Function approximation | Path-dependent options | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management | Derivat | Derivative | Kreditrisiko | Credit risk | Swap | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1781236 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483835