This paper presents a computationally efficient technique for the computation of exposure distributions at any future time under the risk-neutral and some observed real-world probability measures, needed for computation of credit valuation adjustment (CVA) and potential future exposure (PFE). In...

In this paper we extend the stochastic grid bundling method (SGBM), a regress-later based Monte Carlo scheme for pricing early-exercise options, with an adjoint method to compute in a highly efficient manner sensitivities along the paths, with reasonable accuracy. With the ISDA standard initial...