Speed-up credit exposure calculations for pricing and risk management

DOI10.1080/14697688.2020.1781236zbMath1466.91337arXiv1912.01280OpenAlexW3045736336MaRDI QIDQ4991089

Christian Pötz, Kathrin Glau, Ricardo Pachón

Publication date: 2 June 2021

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

Full work available at URL: https://arxiv.org/abs/1912.01280

zbMATH Keywords

path-dependent optionsfunction approximationBermudan swaptioncredit exposurefull re-evaluation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Sparse grid method for highly efficient computation of exposures for xVA

Uses Software

• BENCHOP

Cites Work

• The Pricing of Options and Corporate Liabilities
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Interest rate models -- theory and practice. With smile, inflation and credit
• Chebyshev interpolation for parametric option pricing
• BENCHOP – The BENCHmarking project in option pricing
• FIXING RISK NEUTRAL RISK MEASURES
• Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item

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