Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk

DOI10.1080/14697688.2016.1176240zbMath1400.91639OpenAlexW2401909208MaRDI QIDQ4554240

Cornelis S. L. de Graaf, Drona Kandhai, S. Simaitis, Norbert Hári

Publication date: 13 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2016.1176240

zbMATH Keywords

stochastic volatilitystochastic interest ratescounterparty riskexposureHestonFXHull-WhiteEURUSDFDMC

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Related Items

Investor behavior, information disclosure strategy and counterparty credit risk contagion, Efficient exposure computation by risk factor decomposition, Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate, The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives

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