Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk (Q4554240)
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scientific article; zbMATH DE number 6976837
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| 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)
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13 November 2018
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exposure
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FX
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Heston
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Hull-White
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FDMC
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stochastic volatility
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stochastic interest rates
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EURUSD
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counterparty risk
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0.7792966365814209
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0.7565928101539612
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0.7307093143463135
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0.7102157473564148
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0.7077466249465942
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