Coherent global market simulations and securitization measures for counterparty credit risk

DOI10.1080/14697688.2010.542633zbMATH Open1217.91194OpenAlexW3121633110MaRDI QIDQ2994850FDOQ2994850

Authors: Claudio Albanese, Toufik Bellaj, Guillaume Gimonet, Giacomo Pietronero 

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.542633

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Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options

Cited In (7)

• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
• From credit valuation adjustments to credit capital commitments
• Wealth transfers, indifference pricing, and XVA compression schemes
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• XVA principles, nested Monte Carlo strategies, and GPU optimizations
• ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
• Quantitative reverse stress testing, bottom up

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