Sparse grid method for highly efficient computation of exposures for xVA
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Publication:2168601
DOI10.1016/j.amc.2022.127446OpenAlexW3167804879MaRDI QIDQ2168601
Publication date: 26 August 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.14319
xVAChebyshev polynomialsstochastic collocationClenshaw-Curtisexpected exposuresSCSmolyak's sparse gridsvaluation adjustment
Numerical approximation and computational geometry (primarily algorithms) (65Dxx) Actuarial science and mathematical finance (91Gxx) Approximations and expansions (41Axx)
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