Pages that link to "Item:Q2874730"
From MaRDI portal
The following pages link to Efficient computation of exposure profiles for counterparty credit risk (Q2874730):
Displaying 24 items.
- Modelling, pricing, and hedging counterparty credit exposure. A technical guide (Q1039395) (← links)
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
- Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
- Estimating the counterparty risk exposure by using the Brownian motion local time (Q2011920) (← links)
- Analytical expressions to counterparty credit risk exposures for interest rate derivatives (Q2125642) (← links)
- Sparse grid method for highly efficient computation of exposures for xVA (Q2168601) (← links)
- Computing valuation adjustments for counterparty credit risk using a modified supervisory approach (Q2211014) (← links)
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260) (← links)
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model (Q2661015) (← links)
- Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge (Q3119670) (← links)
- Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Q3195064) (← links)
- Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk (Q4554240) (← links)
- Liquidity risk in derivatives valuation: an improved credit proxy method (Q4554432) (← links)
- Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models (Q4604870) (← links)
- Efficient exposure computation by risk factor decomposition (Q4619510) (← links)
- Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
- Stochastic grid bundling method for backward stochastic differential equations (Q5031712) (← links)
- A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE (Q5377005) (← links)
- Discovery of Risk-Return Efficient Structures in Middle-Market Credit Portfolios (Q5445882) (← links)
- Fast simulations in credit risk (Q5745630) (← links)
- The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives (Q5879356) (← links)
- Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework (Q6159074) (← links)
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA (Q6576883) (← links)
