LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS
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Publication:2953307
DOI10.1142/S0219024916500485zbMath1396.91789OpenAlexW3124555103MaRDI QIDQ2953307
Publication date: 4 January 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024916500485
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Credit risk (91G40)
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Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Efficient exposure computation by risk factor decomposition ⋮ Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Cites Work
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- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
- Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
- Counterparty Credit Risk, Collateral and Funding
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