Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Year of publication: |
2020
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Authors: | Goudenège, Ludovic ; Molent, Andrea ; Zanette, Antonino |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 17.2020, 2, p. 163-178
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Subject: | Credit value adjustment | Hybrid methods | PIDE | Monte Carlo | Bates model | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kreditrisiko | Credit risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
Language: | English |
Other identifiers: | 10.1007/s10287-020-00365-6 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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