Sparse grid method for highly efficient computation of exposures for xVA (Q2168601)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Sparse grid method for highly efficient computation of exposures for xVA |
scientific article |
Statements
Sparse grid method for highly efficient computation of exposures for xVA (English)
0 references
26 August 2022
0 references
stochastic collocation
0 references
SC
0 references
xVA
0 references
valuation adjustment
0 references
expected exposures
0 references
Smolyak's sparse grids
0 references
Chebyshev polynomials
0 references
Clenshaw-Curtis
0 references
0 references
0 references
0 references
0 references