Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673): Difference between revisions
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Revision as of 16:30, 5 March 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)
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6 September 2018
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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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