Speed-up credit exposure calculations for pricing and risk management (Q4991089)
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scientific article; zbMATH DE number 7353691
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Speed-up credit exposure calculations for pricing and risk management |
scientific article; zbMATH DE number 7353691 |
Statements
Speed-up credit exposure calculations for pricing and risk management (English)
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2 June 2021
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path-dependent options
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Bermudan swaption
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credit exposure
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full re-evaluation
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function approximation
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