Bilateral credit valuation adjustment for large credit derivatives portfolios
Year of publication: |
2014
|
---|---|
Authors: | Bo, Lijun ; Capponi, Agostino |
Published in: |
Finance and Stochastics. - Springer. - Vol. 18.2014, 2, p. 431-482
|
Publisher: |
Springer |
Subject: | Credit valuation adjustment | Weak convergence | Doubly stochastic processes | Credit default swaps |
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