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~person:"Oosterlee, Cornelis Willebrordus"
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Credit risk
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Kreditrisiko
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Option pricing theory
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Optionspreistheorie
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Bermudan options
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Bermudan swaption
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Credit Valuation Adjustment (CVA)
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credit exposure
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credit valuation adjustment (CVA)
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nonnested Monte Carlo
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potential future exposure (PFE)
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real-world measure
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Oosterlee, Cornelis Willebrordus
Feng, Qian
11
Feng, Cecilia
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Oosterlee, Cornelis W.
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Kandhai, Drona
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Qian, Feng
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FENG, QIAN
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Amin, Keval
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Banker, Rajiv D.
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Graaf, Cornelis S. L. de
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JIANG, ENYING
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Jain, Shashi
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Karlsson, Patrik
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Mei, Hua
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TANG, DONGYAN
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Tang, Zhiwu
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Wang, Honggang
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Wang, Zhenlei
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Bai, Caiquan
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Du, Changze
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Eshleman, John Daniel
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Feng, Chen
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Feng, Fang
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Feng, Qian Qian
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Feng, Xin
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GRAAF, CORNELIS S. L. DE
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GU, SHUO
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Guo, Peng
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HE, BAOZHU
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Hao, Jun
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Huang, Yangxin
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Jiao, Qian
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KANDHAI, DRONA
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Kim, Chansog
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International journal of theoretical and applied finance
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The journal of computational finance
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ECONIS (ZBW)
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Computing credit valuation adjustment for Bermudan options with wrong way risk
Feng, Qian
;
Oosterlee, Cornelis Willebrordus
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011787454
Saved in:
2
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian
;
Jain, Shashi
;
Karlsson, Patrik
;
Kandhai, Drona
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
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