Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives (Q4689901)
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scientific article; zbMATH DE number 6959381
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| English | Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives |
scientific article; zbMATH DE number 6959381 |
Statements
Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives (English)
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22 October 2018
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counterparty risk
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funding
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BSDE
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Gaussian copula
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Marshall-Olkin copula
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particles
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0.7659903764724731
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0.7611863017082214
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0.7552903294563293
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0.7534909248352051
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0.7532439827919006
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