Coherent global market simulations and securitization measures for counterparty credit risk

DOI10.1080/14697688.2010.542633zbMath1217.91194OpenAlexW3121633110MaRDI QIDQ2994850

Giacomo Pietronero, Guillaume Gimonet, Toufik Bellaj, Claudio Albanese

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.542633

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (7)

Quantitative reverse stress testing, bottom up ⋮ ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK ⋮ Wealth Transfers, Indifference Pricing, and XVA Compression Schemes ⋮ XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS ⋮ Credit, funding, margin, and capital valuation adjustments for bilateral portfolios ⋮ Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results ⋮ From credit valuation adjustments to credit capital commitments

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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