Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673): Difference between revisions

Latest revision as of 09:44, 30 July 2024

scientific article; zbMATH DE number 6933335

Language	Label	Description	Also known as
English	Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method	scientific article; zbMATH DE number 6933335

Statements

instance of

scholarly article

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title

Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (English)

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author

Patrik Karlsson

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Shashi Jain

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Cornelis W. Oosterlee

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published in

Applied Mathematical Finance

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publication date

6 September 2018

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zbMATH Keywords

Bermudan swaptions

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credit value adjustment (CVA)

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Monte Carlo simulation

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stochastic grid bundling method (SGBM)

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MaRDI profile type

MaRDI publication profile

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cites work

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

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An iterative method for multiple stopping: convergence and stability

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Counterparty Credit Risk, Collateral and Funding

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Interest rate models -- theory and practice. With smile, inflation and credit

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Valuation of the early-exercise price for options using simulations and nonparametric regression

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Number of paths versus number of basis functions in American option pricing

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Pricing American Options: A Duality Approach

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Pricing Interest-Rate-Derivative Securities

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The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks

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A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS

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Upper Bounds for Bermudan Style Derivatives

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Iterative construction of the optimal Bermudan stopping time

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Valuing American Options by Simulation: A Simple Least-Squares Approach

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Monte Carlo valuation of American options

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full work available at URL

https://doi.org/10.1080/1350486x.2016.1226144

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Identifiers

zbMATH Open document ID

1396.91741

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DOI

10.1080/1350486X.2016.1226144

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4585673

@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
+Normal rank
@@ Property / cites work @@
+An iterative method for multiple stopping: convergence and stability
+Normal rank
@@ Property / cites work @@
+Counterparty Credit Risk, Collateral and Funding
@@ Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Number of paths versus number of basis functions in American option pricing
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
+Normal rank
@@ Property / cites work @@
+A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
+Normal rank
@@ Property / cites work @@
+Upper Bounds for Bermudan Style Derivatives
@@ Property / cites work: Upper Bounds for Bermudan Style Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Iterative construction of the optimal Bermudan stopping time
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/1350486x.2016.1226144
+Normal rank
@@ Property / OpenAlex ID @@
+W3125577784
@@ Property / OpenAlex ID: W3125577784 / rank @@
+Normal rank