EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK (Q2874730)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK |
scientific article |
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EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK (English)
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8 August 2014
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expected exposure
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potential future exposure
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Bermudan options
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Heston
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numerical computation
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finite differences
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stochastic grid bundling method
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