Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives

DOI10.1007/978-3-319-33446-2_3zbMath1398.91668OpenAlexW2557591751MaRDI QIDQ4689901

Tuyet Nguyen Mai, Stéphane Crépey

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_3

zbMATH Keywords

particlesGaussian copulacounterparty riskBSDEfundingMarshall-Olkin copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites Work

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