Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk (Q4554240)
From MaRDI portal
scientific article; zbMATH DE number 6976837
Language | Label | Description | Also known as |
---|---|---|---|
English | Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk |
scientific article; zbMATH DE number 6976837 |
Statements
Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk (English)
0 references
13 November 2018
0 references
exposure
0 references
FX
0 references
Heston
0 references
Hull-White
0 references
FDMC
0 references
stochastic volatility
0 references
stochastic interest rates
0 references
EURUSD
0 references
counterparty risk
0 references
0 references
0 references
0 references
0 references