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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
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XVA principles, nested Monte Carlo strategies, and GPU optimizations
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-40
Persistent link: https://www.econbiz.de/10011926570