Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
DOI10.1080/1350486X.2016.1226144zbMATH Open1396.91741OpenAlexW3125577784MaRDI QIDQ4585673FDOQ4585673
Authors: Patrik Karlsson, Shashi Jain, Cornelis W. Oosterlee 
Publication date: 6 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2016.1226144
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Monte Carlo simulationcredit value adjustment (CVA)Bermudan swaptionsstochastic grid bundling method (SGBM)
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)
Cites Work
- Pricing Interest-Rate-Derivative Securities
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Interest rate models -- theory and practice. With smile, inflation and credit
- Counterparty Credit Risk, Collateral and Funding
- Monte Carlo valuation of American options
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Number of paths versus number of basis functions in American option pricing
- Iterative construction of the optimal Bermudan stopping time
- Pricing American Options: A Duality Approach
- Upper Bounds for Bermudan Style Derivatives
- An iterative method for multiple stopping: convergence and stability
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
Cited In (7)
- Speed-up credit exposure calculations for pricing and risk management
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- 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
- LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS
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