Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives (Q4689901)
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scientific article; zbMATH DE number 6959381
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives |
scientific article; zbMATH DE number 6959381 |
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Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives (English)
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22 October 2018
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counterparty risk
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funding
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BSDE
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Gaussian copula
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Marshall-Olkin copula
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particles
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