Sparse grid method for highly efficient computation of exposures for xVA (Q2168601)
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scientific article; zbMATH DE number 7576353
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Sparse grid method for highly efficient computation of exposures for xVA |
scientific article; zbMATH DE number 7576353 |
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Sparse grid method for highly efficient computation of exposures for xVA (English)
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26 August 2022
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stochastic collocation
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SC
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xVA
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valuation adjustment
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expected exposures
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Smolyak's sparse grids
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Chebyshev polynomials
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Clenshaw-Curtis
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0.7633277773857117
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0.7327339053153992
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0.7326918840408325
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0.7317511439323425
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0.7204495668411255
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