EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK

DOI10.1142/S0219024914500241zbMath1304.91245OpenAlexW3124655310MaRDI QIDQ2874730

Cornelis S. L. de Graaf, Drona Kandhai, Qian Feng, Cornelis W. Oosterlee

Publication date: 8 August 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500241

zbMATH Keywords

finite differencesnumerical computationBermudan optionsHestonstochastic grid bundling methodexpected exposurepotential future exposure

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (12)

Stochastic grid bundling method for backward stochastic differential equations ⋮ A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk ⋮ Liquidity risk in derivatives valuation: an improved credit proxy method ⋮ Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models ⋮ Efficient exposure computation by risk factor decomposition ⋮ Efficient Computation of Various Valuation Adjustments Under Local Lévy Models ⋮ Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model ⋮ A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options ⋮ The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives

Cites Work

• A tree-based method to price American options in the Heston model
• Pricing high-dimensional Bermudan options using the stochastic grid method
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

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