Toward a coherent Monte Carlo simulation of CVA

DOI10.1515/MCMA-2013-0026zbMath1302.91191OpenAlexW1981787851MaRDI QIDQ742082

Aych I. Bouselmi, Lokman A. Abbas-Turki, Mohammed Adam Mikou

Publication date: 17 September 2014

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2013-0026

zbMATH Keywords

Malliavin calculusCVACVA sensitivity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Credit risk (91G40)

Related Items (1)

XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS

This page was built for publication: Toward a coherent Monte Carlo simulation of CVA