Accelerated computations of sensitivities for xVA*
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Publication:6625109
DOI10.1080/00207160.2023.2203277MaRDI QIDQ6625109
Lech A. Grzelak, Griselda Deelstra, Felix Wolf
Publication date: 28 October 2024
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Title not available (Why is that?)
- Interest rate models -- theory and practice. With smile, inflation and credit
- Chebyshev interpolation for parametric option pricing
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- Interpolation Methods for Curve Construction
- AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method
- Barycentric Lagrange Interpolation
- Speed-up credit exposure calculations for pricing and risk management
- Mathematical Modeling and Computation in Finance
- Pricing Interest-Rate-Derivative Securities
- High-Order Collocation Methods for Differential Equations with Random Inputs
- Calculation of Gauss Quadrature Rules
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