Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/1350486x.2016.1226144 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3125577784 / rank | |||
Normal rank | |||
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
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (English)
0 references
6 September 2018
0 references
Bermudan swaptions
0 references
credit value adjustment (CVA)
0 references
Monte Carlo simulation
0 references
stochastic grid bundling method (SGBM)
0 references
0 references
0 references
