Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 12:53, 7 February 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
