Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249)
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scientific article; zbMATH DE number 6860074
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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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