A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE (Q5377005)
From MaRDI portal
scientific article; zbMATH DE number 7057297
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE |
scientific article; zbMATH DE number 7057297 |
Statements
A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE (English)
0 references
21 May 2019
0 references
XVA adjustments
0 references
expected exposure
0 references
Dupire's equation
0 references
co-area formula
0 references
local times
0 references
