Efficient computation of various valuation adjustments under local Lévy models (Q4635249)
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scientific article; zbMATH DE number 6860074
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Efficient computation of various valuation adjustments under local Lévy models |
scientific article; zbMATH DE number 6860074 |
Statements
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (English)
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16 April 2018
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fast Fourier transform
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CVA
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XVA
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BSDE
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characteristic function
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0.7765612006187439
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0.7698450088500977
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0.7563517093658447
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0.7431026697158813
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0.742220401763916
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