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Efficient Computation of Various Valuation Adjustments Under Local Lévy Models - MaRDI portal

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249)

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scientific article; zbMATH DE number 6860074
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English
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models
scientific article; zbMATH DE number 6860074

    Statements

    title
    Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (English)
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    author
    Anastasia Borovykh
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    Andrea Pascucci
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    Cornelis W. Oosterlee
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    publication date
    16 April 2018
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    zbMATH Keywords
    fast Fourier transform
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    CVA
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    XVA
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    BSDE
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    characteristic function
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    Identifiers

    DOI
    10.1137/16M1099005
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    Mathematics Subject Classification ID
    91G60
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    65C30
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    65T50
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    60G51
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    zbMATH DE Number
    6860074
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    arXiv ID
    1905.01706
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