A forward equation for computing derivatives exposure (Q5377005)
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scientific article; zbMATH DE number 7057297
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A forward equation for computing derivatives exposure |
scientific article; zbMATH DE number 7057297 |
Statements
A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE (English)
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21 May 2019
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XVA adjustments
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expected exposure
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Dupire's equation
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co-area formula
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local times
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0.7622018456459045
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0.7308979034423828
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0.7302027344703674
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0.7213783264160156
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0.7205963730812073
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