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One‐Factor Hull—White Model Calibration for CVA Part I : Instrument Selection with a Kink
Puetter, Christoph M.; Renzitti, Stefano - In: Wilmott 2020 (2020) 110, pp. 72-76
Persistent link: https://www.econbiz.de/10012407842
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One‐Factor Hull—White Model Calibration for CVA Part II : Optimizing the Mean Reversion Parameter
Puetter, Christoph M.; Renzitti, Stefano - In: Wilmott 2020 (2020) 110, pp. 77-81
Persistent link: https://www.econbiz.de/10012407843
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Accelerating CVA and CVA Sensitivities Using Quasi‐Monte Carlo Methods
Renzitti, Stefano; Bastani, Pouya; Sivorot, Steven - In: Wilmott 2020 (2020) 108, pp. 78-93
Persistent link: https://www.econbiz.de/10012274349