Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method (Q4585673)
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scientific article; zbMATH DE number 6933335
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| English | Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method |
scientific article; zbMATH DE number 6933335 |
Statements
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (English)
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6 September 2018
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Bermudan swaptions
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credit value adjustment (CVA)
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Monte Carlo simulation
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stochastic grid bundling method (SGBM)
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0.8484843373298645
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0.8109449744224548
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0.8023586869239807
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0.7822161316871643
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0.7739390134811401
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