Least squares Monte Carlo credit value adjustment with small and unidirectional bias
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Publication:2953307
DOI10.1142/S0219024916500485zbMATH Open1396.91789OpenAlexW3124555103MaRDI QIDQ2953307FDOQ2953307
Authors: Mark Joshi, Oh Kang Kwon 
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
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Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)
Cites Work
- Title not available (Why is that?)
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- Title not available (Why is that?)
- Counterparty risk pricing under correlation between default and interest rates
- 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
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Cited In (5)
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
- Calculation of credit valuation adjustment based on least square Monte Carlo methods
- Efficient exposure computation by risk factor decomposition
- Computing credit valuation adjustment solving coupled PIDEs in the Bates model
- Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
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