Computing credit valuation adjustment solving coupled PIDEs in the Bates model

DOI10.1007/s10287-020-00365-6OpenAlexW3033187197MaRDI QIDQ2221460

Andrea Molent, Ludovic Goudenège, Antonino Zanette

Publication date: 2 February 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.05328

zbMATH Keywords

Monte Carlohybrid methodsBates modelcredit value adjustmentPIDE

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Complexity and performance of numerical algorithms (65Y20) Pseudo-random numbers; Monte Carlo methods (11K45) Integro-partial differential equations (35R09) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Operations research and management science (90Bxx)

Related Items (1)

Wrong way risk corrections to CVA in CIR reduced-form models

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