Speed-up credit exposure calculations for pricing and risk management
Year of publication: |
2021
|
---|---|
Authors: | Glau, Kathrin ; Pachón, Ricardo ; Pötz, Christian |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 3, p. 481-499
|
Subject: | Bermudan swaption | Credit exposure | Full re-evaluation | Function approximation | Path-dependent options | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Swap | Hedging | Derivat | Derivative | Optionsgeschäft | Option trading | Kreditgeschäft | Bank lending |
-
Managing the risk of embedded options in non-traded credit using portfolio modeling
Engelmann, Bernd, (2023)
-
Feng, Qian, (2016)
-
Counterparty credit risk and American options
Klein, Peter, (2013)
- More ...
-
The Chebyshev method for the implied volatility
Glau, Kathrin, (2019)
-
Optimal right- and wrong-way risk from a practitioner standpoint
Ruiz, Ignacio, (2015)
-
Numerical pricing of European options with arbitrary payoffs
Pachón, Ricardo, (2018)
- More ...