Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method

DOI10.1080/1350486X.2016.1226144zbMath1396.91741OpenAlexW3125577784MaRDI QIDQ4585673

Patrik Karlsson, Shashi Jain, Cornelis W. Oosterlee

Publication date: 6 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2016.1226144

zbMATH Keywords

Monte Carlo simulationcredit value adjustment (CVA)Bermudan swaptionsstochastic grid bundling method (SGBM)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (6)

A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Efficient exposure computation by risk factor decomposition ⋮ Computing credit valuation adjustment solving coupled PIDEs in the Bates model ⋮ Speed-up credit exposure calculations for pricing and risk management

Cites Work

• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• Interest rate models -- theory and practice. With smile, inflation and credit
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Number of paths versus number of basis functions in American option pricing
• Iterative construction of the optimal Bermudan stopping time
• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
• Pricing American Options: A Duality Approach
• Upper Bounds for Bermudan Style Derivatives
• Monte Carlo valuation of American options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Pricing Interest-Rate-Derivative Securities
• An iterative method for multiple stopping: convergence and stability
• Counterparty Credit Risk, Collateral and Funding
• A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS

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