Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method
Year of publication: |
2016
|
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Authors: | Karlsson, Patrik |
Other Persons: | Jain, Shashi (contributor) ; Oosterlee, Cornelis W. (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Derivat | Derivative | Theorie | Theory | Kreditrisiko | Credit risk | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (26 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 31, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2538173 [DOI] |
Classification: | C63 - Computational Techniques ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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